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Estimating models based on Markov jump processes given fragmented observation series

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Author Info

  • Markus Hahn

    ()

  • Sylvia Frühwirth-Schnatter

    ()

  • Jörn Sass

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10182-009-0116-3
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    Bibliographic Info

    Article provided by Springer in its journal AStA Advances in Statistical Analysis.

    Volume (Year): 93 (2009)
    Issue (Month): 4 (December)
    Pages: 403-425

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    Handle: RePEc:spr:alstar:v:93:y:2009:i:4:p:403-425

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    Web page: http://www.springerlink.com/link.asp?id=112915

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    Related research

    Keywords: Markov chain; Markov switching model; Hidden Markov model; Regime switching; Inference;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Fruhwirth-Schnatter S., 2001. "Markov Chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 194-209, March.
    2. Massimo Guidolin & Allan Timmerman, 2005. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers 2005-003, Federal Reserve Bank of St. Louis.
    3. Jörn Sass & Ulrich Haussmann, 2004. "Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain," Finance and Stochastics, Springer, vol. 8(4), pages 553-577, November.
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    Cited by:
    1. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer, vol. 96(3), pages 385-407, July.
    2. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.

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