Markus Hahn

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Scholarly Papers (1)

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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