Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (Q3521273): Difference between revisions

@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+New finite-dimensional filters and smoothers for noisily observed Markov chains
+Normal rank
@@ Property / cites work @@
+Exact adaptive filters for Markov chains observed in Gaussian noise
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+Drift and volatility estimation in discrete time
@@ Property / cites work: Drift and volatility estimation in discrete time / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating the implicit interest rate of a risky asset
+Normal rank
@@ Property / cites work @@
+Particle Filters for Partially Observed Diffusions
+Normal rank
@@ Property / cites work @@
+An explicit solution to an optimal stopping problem with regime switching
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Generalized Method of Moments Estimators
+Normal rank
@@ Property / cites work @@
+Time discretization of continuous-time filters and smoothers for HMM parameter estimation
+Normal rank
@@ Property / cites work @@
+Robust continuous-time smoothers without two-sided stochastic integrals
+Normal rank
@@ Property / cites work @@
+General Irreducible Markov Chains and Non-Negative Operators
+Normal rank
@@ Property / cites work @@
+Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
+Normal rank
@@ Property / cites work @@
+Markov chains for exploring posterior distributions. (With discussion)
+Normal rank
@@ Property / cites work @@
+Moments of Markov switching models
@@ Property / cites work: Moments of Markov switching models / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1368-423x.2008.00246.x
+Normal rank
@@ Property / OpenAlex ID @@
+W1995775717
@@ Property / OpenAlex ID: W1995775717 / rank @@
+Normal rank