کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
395464 | 665981 | 2008 | 17 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Adaptive signal processing of asset price dynamics with predictability analysis Adaptive signal processing of asset price dynamics with predictability analysis](/preview/png/395464.png)
In this paper we illustrate the optimal filtering of log returns of commodity prices in which both the mean and volatility are modulated by a hidden Markov chain with finite state space. The optimal estimate of the Markov chain and the parameters of the price model are given in terms of discrete-time recursive filters. We provide an application on a set of high frequency gold price data for the period 1973–2006 and analyse the h-step ahead price predictions against the Diebold–Kilian metric. Within the modelling framework where the mean and volatility are switching regimes, our findings suggest that a two-state hidden Markov model is sufficient to describe the dynamics of the data and the gold price is predictable up to a certain extent in the short term but almost impossible to predict in the long term. The proposed model is also benchmarked with ARCH and GARCH models with respect to price predictability and forecasting errors.
Journal: Information Sciences - Volume 178, Issue 1, 2 January 2008, Pages 203–219