Estimating models based on Markov jump processes given fragmented observation series
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Publication:5962989
DOI10.1007/S10182-009-0116-3zbMATH Open1332.62283OpenAlexW2002658660MaRDI QIDQ5962989FDOQ5962989
Jörn Sass, Markus Hahn, Sylvia Frühwirth-Schnatter
Publication date: 25 February 2016
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10182-009-0116-3
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Cites Work
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- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Bayesian Methods for Hidden Markov Models
- Statistical Methods in Markov Chains
- Asset allocation under multivariate regime switching
- Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
- Statistical Inference for Discretely Observed Markov Jump Processes
- Option pricing in a regime-switching model using the fast Fourier transform
- Title not available (Why is that?)
- An explicit solution to an optimal stopping problem with regime switching
Cited In (7)
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
- Data-based inference of generators for Markov jump processes using convex optimization
- Exact and approximate hidden Markov chain filters based on discrete observations
- Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
- Efficient estimation of Markov regime-switching models: an application to electricity spot prices
- OLS estimation of Markov switching VAR models: asymptotics and application to energy use
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
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