Markov chain Monte Carlo Methods for parameter estimation in multidimensional continuous time Markov switching models

Journal of Financial Econometrics

Volumn 8, Issue 1, 2010, Pages 88-121

  Hahn, Markus ^a   Frühwirth Schnatter, Sylvia ^b   Sass, Jörn ^c  

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

^b JOHANNES KEPLER UNIVERSITY LINZ   (Austria)

^c University of Koblenz Landau   (Germany)

Author keywords

Bayesian inference; Data augmentation; Hidden Markov Model; Switching diffusion

Indexed keywords

EID: 77951193693     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbp026     Document Type: Article

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