Estimating models based on Markov jump processes given fragmented observation series
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Bibliographic InfoArticle provided by Springer in its journal AStA Advances in Statistical Analysis.
Volume (Year): 93 (2009)
Issue (Month): 4 (December)
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Web page: http://www.springerlink.com/link.asp?id=112915
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- 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.
- Joanna Janczura & Rafal Weron, 2011.
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HSC Research Reports
HSC/11/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- 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.
- 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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