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Drift and volatility estimation in discrete time

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1984A comparison of inflation forecasts380 cited

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2012A BSDE approach to risk-based asset allocation of pension funds with regime switching38 cited
2006A filtering approach to tracking volatility from prices observed at random times38 cited
2002PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS34 cited
2010A hidden Markov regime-switching model for option valuation32 cited
2009A high-order Markov-switching model for risk measurement23 cited
2007Pricing Exotic Options under a High-Order Markovian Regime Switching Model21 cited

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