Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
From MaRDI portal
Publication:3521273
Recommendations
- Parameter estimation in continuous time Markov switching models: a semi-continuous Markov chain Monte Carlo approach
- Drift and volatility estimation in discrete time
- Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
- Parameter estimation in a regime-switching model when the drift and volatility are independent
- Theory and inference for a Markov switching GARCH model
Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An explicit solution to an optimal stopping problem with regime switching
- Drift and volatility estimation in discrete time
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimating the implicit interest rate of a risky asset
- Exact adaptive filters for Markov chains observed in Gaussian noise
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- General Irreducible Markov Chains and Non-Negative Operators
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- Large Sample Properties of Generalized Method of Moments Estimators
- Markov chains for exploring posterior distributions. (With discussion)
- Moments of Markov switching models
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Particle Filters for Partially Observed Diffusions
- Robust continuous-time smoothers without two-sided stochastic integrals
- Time discretization of continuous-time filters and smoothers for HMM parameter estimation
Cited in
(14)- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
- Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
- Regime switching model estimation: spectral clustering hidden Markov model
- Exact and approximate hidden Markov chain filters based on discrete observations
- Parameter estimation in a regime-switching model when the drift and volatility are independent
- Stochastic filtering in regime-switching models: econometric properties, discretization and convergence
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
- Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
- Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
- Parameter estimation in continuous time Markov switching models: a semi-continuous Markov chain Monte Carlo approach
- Estimating models based on Markov jump processes given fragmented observation series
- Pricing European options under stochastic looping contagion risk model
- Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
- Optimal refinancing strategy for mortgage rate with regime switching
This page was built for publication: Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3521273)
