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Elliott, R.J., Malcolm, W.P. and Tsoi, A.H. (2003) Robust Parameter Estimation for Asset Price Models with Markov Modulated Volatilities. Journal of Economics Dynamics and Control, 27, 1391-1409.
http://dx.doi.org/10.1016/S0165-1889(02)00064-7

has been cited by the following article:

• TITLE: The Stochastic Error Rate Estimation of Prediction Distributions

  AUTHORS: Hafedh Faires

  KEYWORDS: Reserving Claims, EDS, Error Rate, Prediction Distributions

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.2, May 13, 2015

  ABSTRACT: The estimation of claims reserves is usually done by applying techniques called IBNR techniques within a stochastic framework. The main objective of this paper is to predict the partial reserve and to estimate the error rate of prediction distributions by using the stochastic model proposed in [1].