English, Article edition: MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS AHMED ABUTALEB; MICHAEL G. PAPAIOANNOU

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Bookmark: http://trove.nla.gov.au/version/82970
Physical Description
  • article
Language
  • English

Edition details

Title
  • MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS
Author
  • AHMED ABUTALEB
  • MICHAEL G. PAPAIOANNOU
Physical Description
  • article
Notes
  • The paper introduces a new method for the estimation of time-varying regression coefficients employed in financial modeling. We use Malliavin calculus (stochastic calculus of variations) to estimate the time-varying regression coefficients that appear in linear regression models, and the generalized ClarkâOcone formula to derive a closed-form solution for the estimates of the time-varying coefficients. While this approach can be applied to any signal model, we present its application to signals modeled as a Brownian motion and an OrnsteinâUhlenbeck process. Simulation results prove the superiority of the proposed method, as compared to conventional methods.
  • Stochastic calculus, Malliavin calculus, time-varying parameters, time-series analysis, ClarkâOcone formula, OrnsteinâUhlenbeck process
  • RePEc:wsi:ijtafx:v:10:y:2007:i:05:p:771-800
Language
  • English
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