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

Econometrics Journal

Volumn 11, Issue 2, 2008, Pages 244-270

  Elliott, Robert J ^a   Krishnamurthy, Vikram ^b   Sass, Jörn ^c  

^a UNIVERSITY OF CALGARY   (Canada)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^c JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS   (Austria)

Author keywords

Generalized method of moments; Markov switching model; Moments based estimator; Parameter estimation; Regime switching

Indexed keywords

EID: 47649091127     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2008.00246.x     Document Type: Article

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