Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models

DOI10.1111/j.1368-423X.2008.00246.xzbMath1141.91627OpenAlexW1995775717MaRDI QIDQ3521273

Vikram Krishnamurthy, Jörn Sass, Robert J. Elliott

Publication date: 21 August 2008

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00246.x

zbMATH Keywords

parameter estimationregime switchinggeneralized method of momentsMarkov switching modelmoments based estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Stochastic models in economics (91B70)

Related Items (7)

Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models ⋮ Exact and approximate hidden Markov chain filters based on discrete observations ⋮ Signal-to-noise matrix and model reduction in continuous-time hidden Markov models ⋮ Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization ⋮ Pricing European options under stochastic looping contagion risk model ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ Estimating models based on Markov jump processes given fragmented observation series

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