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

Research output: Contribution to journal › Article › peer-review

Original language	English
Article number	nbp026
Pages (from-to)	88-121
Number of pages	34
Journal	Journal of Financial Econometrics
Volume	8
Issue number	1
DOIs	https://doi.org/10.1093/jjfinec/nbp026
Publication status	Published - 2010

Fields of science

@article{e2b41829910c4e71809180ad5acf202a,

title = "Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models",

author = "Markus Hahn and Sylvia Fr{\"u}hwirth-Schnatter and J{\"o}rn Sass",

year = "2010",

doi = "10.1093/jjfinec/nbp026",

language = "English",

volume = "8",

pages = "88--121",

journal = "Journal of Financial Econometrics",

number = "1",

}

TY - JOUR

T1 - Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models

AU - Hahn, Markus

AU - Frühwirth-Schnatter, Sylvia

AU - Sass, Jörn

PY - 2010

Y1 - 2010

UR - http://www.ifas.jku.at

U2 - 10.1093/jjfinec/nbp026

DO - 10.1093/jjfinec/nbp026

M3 - Article

VL - 8

SP - 88

EP - 121

JO - Journal of Financial Econometrics

JF - Journal of Financial Econometrics

IS - 1

M1 - nbp026

ER -