Estimating models based on Markov jump processes given fragmented observation series

DOI10.1007/S10182-009-0116-3MaRDI QIDQ5962989zbMATH OpenOpenAlexFDO

Authors Markus Hahn, Sylvia Frühwirth-Schnatter, Jörn Sass

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

zbMATH Keywords

Markov chainregime switchinghidden Markov modelinferenceMarkov switching model

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• scientific article; zbMATH DE number 3174032 (Why is no real title available?)
• AMERICAN OPTIONS WITH REGIME SWITCHING
• An explicit solution to an optimal stopping problem with regime switching
• Asset allocation under multivariate regime switching
• Bayesian Methods for Hidden Markov Models
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Finite mixture and Markov switching models.
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• Option pricing in a regime-switching model using the fast Fourier transform
• Statistical Inference for Discretely Observed Markov Jump Processes
• Statistical Methods in Markov Chains

Cited in

(7)

• A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
• Exact and approximate hidden Markov chain filters based on discrete observations
• Data-based inference of generators for Markov jump processes using convex optimization
• 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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