A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood

DOI10.1002/CJS.11173zbMATH Open1273.62289OpenAlexW2006331596MaRDI QIDQ2851573FDOQ2851573

Authors: Wei Zou, Jiahua Chen 

Publication date: 11 October 2013

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11173

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zbMATH Keywords

finite mixture model

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Regime switching in foreign exchange rates: Evidence from currency option prices
• Hidden Markov Models for Time Series

Cited In (5)

• Convergence of the Euler-Maruyama method for CIR model with Markovian switching
• Title not available (Why is that?)
• Exploring the WTI crude oil price bubble process using the Markov regime switching model
• A segmented generalized Markov regime-switching model with its application in financial time series data
• Some explicit expressions for GBM with Markovian switching and parameter estimations

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