Estimating the implicit interest rate of a risky asset

Robert J. Elliott and Raymond W. Rishel

Stochastic Processes and their Applications, 1994, vol. 49, issue 2, 199-206

Abstract: Hidden Markov Models provide an adaptive method of estimating random quantities, that is, they not only consider the quantity under investigation but also revise the parameters of the model. Results of a recent paper are used to determine the implicit interest rate of an asset whose value is given by an equation in log-normal form.

Date: 1994
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