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Estimating models based on Markov jump processes given fragmented observation series

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  • 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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    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, American Statistical Association, vol. 96, pages 194-209, March.
    2. Allan Timmermann & Massimo Guidolin, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(1), pages 1-22.
    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. 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.
    2. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer, Springer, vol. 96(3), pages 385-407, July.
    3. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Technology.

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