Parameter estimation of an asset price model driven by a weak hidden Markov chain
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References listed on IDEAS
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- repec:eee:ecmode:v:66:y:2017:i:c:p:223-232 is not listed on IDEAS
- Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
- Gao, Huan & Mamon, Rogemar & Liu, Xiaoming & Tenyakov, Anton, 2015. "Mortality modelling with regime-switching for the valuation of a guaranteed annuity option," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 108-120.
- Jo~ao Pedro Rodrigues do Carmo, 2018. "Modeling stock markets through the reconstruction of market processes," Papers 1803.06653, arXiv.org.
- Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
- Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.
More about this item
KeywordsHigher-order Markov chain Filtering Regime-switching model Parameter estimation Change of reference probability technique Gaussian mixture model;
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