Estimating models based on Markov jump processes given fragmented observation series
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References listed on IDEAS
- Allan Timmermann & Massimo Guidolin, 2006.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, 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;German Statistical Society, 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.
- Joanna Janczura & Rafal Weron, 2011. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," HSC Research Reports HSC/11/02, Hugo Steinhaus Center, Wroclaw University of Technology.
More about this item
KeywordsMarkov chain; Markov switching model; Hidden Markov model; Regime switching; Inference;
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