Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
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- Bäuerle Nicole & Gilitschenski Igor & Hanebeck Uwe, 2015. "Exact and approximate hidden Markov chain filters based on discrete observations," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 159-176, December.
- repec:eee:ejores:v:262:y:2017:i:3:p:851-862 is not listed on IDEAS
- Nicole Bauerle & Igor Gilitschenski & Uwe D. Hanebeck, 2014. "Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations," Papers 1411.0849, arXiv.org, revised Dec 2014.
- Lux, Thomas, 2013. "Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model," Kiel Working Papers 1871, Kiel Institute for the World Economy (IfW).
- Vikram Krishnamurthy & Elisabeth Leoff & Jorn Sass, 2016. "Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models," Papers 1602.05323, arXiv.org.
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