Estimating models based on Markov jump processes given fragmented observation series
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Volume (Year): 93 (2009)
Issue (Month): 4 (December)
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References listed on IDEAS
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- 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, vol. 96, pages 194-209, March.
- 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., vol. 21(1), pages 1-22.
- Massimo Guidolin & Allan Timmerman, 2005. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers 2005-003, Federal Reserve Bank of St. Louis.
- 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. Full references (including those not matched with items on IDEAS)