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Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models

Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 88-121

Persistent link: https://www.econbiz.de/10003997336

Estimating models based on Markov jump processes given fragmented observation series

Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 4, pp. 403-425

Persistent link: https://www.econbiz.de/10003910570

Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models

Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Journal of Financial Econometrics 8 (2010) 1, pp. 88-121

We consider a multidimensional, continuous-time model where the observation process is a diffusion with drift and volatility coefficients being modeled as continuous-time, finite-state Markov chains with a common state process. For the econometric estimation of the states for drift and...

Persistent link: https://www.econbiz.de/10008554024

Estimating models based on Markov jump processes given fragmented observation series

Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: AStA Advances in Statistical Analysis 93 (2009) 4, pp. 403-425

Persistent link: https://www.econbiz.de/10008491510

Estimating models based on Markov jump processes given fragmented observation series

Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 93 (2009) 4, pp. 403-426

Persistent link: https://www.econbiz.de/10008352239