Parameter estimation via regime switching model for high frequency data

DOI10.3724/SP.J.1249.2018.04432MaRDI QIDQ4624622zbMATH OpenOpenAlexWikidataFDO

Authors Xiaojie Jin, Xiangdong Liu

Publication date 22 February 2019

Published in Journal of Shenzhen University Science and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3724/sp.j.1249.2018.04432

zbMATH Keywords

filtering algorithmhigh frequency dataKim smoothing algorithmparameter estimationpredictionregime switching

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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(2)

• Optimal sampling frequency for high frequency data using a finite mixture model
• Inference of binary regime models with jump discontinuities

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