Jörn Sass

University of Kaiserslautern

Paul-Ehrlich-Straße 14

Kaiserslautern, D-67663

Germany

SCHOLARLY PAPERS

2

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2

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Moment Based Regression Algorithms for Drift and Volatility Estimation in Continuous-Time Markov Switching Models

Econometrics Journal, Vol. 11, Issue 2, pp. 244-270, July 2008
Number of pages: 27 Posted: 14 Jul 2008
University of Calgary - Haskayne School of Business, affiliation not provided to SSRN and University of Kaiserslautern
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2.

Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models

Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 88-121, 2010
Posted: 28 Dec 2009
affiliation not provided to SSRN, Johannes Kepler University - Department of Applied Statistics and Econometrics and University of Kaiserslautern

Abstract:

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C11, C13, C15, C32, Bayesian inference, data augmentation, hidden Markov model, switching diffusion