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

DOI10.1002/CJS.11173MaRDI QIDQ2851573zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Hidden Markov Models for Time Series
• 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

Cited in

(5)

• Convergence of the Euler-Maruyama method for CIR model with Markovian switching
• scientific article; zbMATH DE number 7255562 (Why is no real title available?)
• 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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