Nothing Special   »   [go: up one dir, main page]
create a website
Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model. (2013). Lux, Thomas.
In: Kiel Working Papers.
RePEc:zbw:ifwkwp:1871.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 35

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Multifractal models in finance: Their origin, properties, and applications. (2013). Segnon, Mawuli ; Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1860.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aı̈t-Sahalia, Y., (2007) Estimating Continuous-Time Models Using Discretely Sampled Data. In: Blundell, R., Persson, T., Newey, W. K., (Eds.) Advances in Economics and Econometrics, Theory and Applications, Econometric Society Monographs. Cambridge University Press, MA.

  2. Barone-Adesi, G., Whaley, R. E. (1987) Efficient analytic approximation of American option values, The Journal of Finance 42(2), 301-320.

  3. Calvet, L. E. and A. J. Fisher (2004) How to forecast long-run volatility: regime switching and the estimation of multifractal processes, Journal of Financial Econometrics 2(1), 49-83.

  4. Calvet, L. E., Fearnley, M., Fisher, A. J. and M. Leippold (2013) What’s beneath the surface? Option pricing with multifrequency latent states. Working paper, HEC Paris, University of British Columbia, and University of Zürich.

  5. Calvet, L. E., Fisher, A. J. and L. Wu (2013) Staying on top of the curve: A cascade model of term structure dynamics. Available at SSRN: http://dx.doi.org/10.2139/ssrn.1573392.
    Paper not yet in RePEc: Add citation now

  6. Calvet, L., A. Fisher and B. Mandelbrot (1997) A Multifractal Model of Asset Returns, Cowles Foundation Discussion Papers, nos. 1164–1166, Yale University.

  7. Calvet, L., and A. Fisher (2001) Forecasting multifractal volatility, Journal of Econometrics, 105, 27–58.

  8. Chen, F., Diebold, F. X. and F. Schorfheide (2013) A Markov-switching multifractal inter-trade duration model, with application to US equities, Journal of Econometrics, in press.

  9. Choi, S. (2009) Regime-switching univariate diffusion models of the short-term interest rate, Studies in Nonlinear Dynamics and Econometrics 13(1).

  10. Dai, Q. and K. Singleton (2003) Term structure dynamics in theory and reality, Review of Financial Studies 16(3), 631-678.

  11. Elliott, R. J., Krishnamurthy, V., and Sass, J. (2008b). Moment based regression algorithms for drift and volatility estimation in continuous-time Markov-switching models. The Econometrics Journal, 11(2), 244-270.

  12. Elliott, R. J., Siu, T. K. and A. Badescu (2011) On pricing and hedging options in regimeswitching models with feedback effect, Journal of Economic Dynamics and Control 35(5), 694-713.

  13. Elliott, R. J., Siu, T. K. and L. Chan (2007) Pricing volatility swaps under Heston’s stochastic volatility model with regime switching, Applied Mathematical Finance 14(1), 41-62.

  14. Elliott, R. J., Siu, T. K. and L. Chan (2008a) A PDE approach for risk measures for derivatives with regime switching, Annals of Finance 4(1), 55-74.
    Paper not yet in RePEc: Add citation now
  15. Fuh, C. D., Ho, K. W. R., Hu, I. and R. H. Wang (2012) Option Pricing with Markov Switching, Journal of Data Science 10(3), 483-509.
    Paper not yet in RePEc: Add citation now
  16. Gantmacher, F. (1974) The Theory of Matrices, vol. I, Chelsea Publ. Co., New York.
    Paper not yet in RePEc: Add citation now
  17. Glasserman, P. (2004) Monte Carlo Methods in Financial Engineering. Springer, Berlin.
    Paper not yet in RePEc: Add citation now
  18. Guo, X. and Zhang, Q., (2004), Closed-form solutions for perpetual American put options with regime switching. SIAM Journal on Applied Mathematics, 64(6), 2034-2049.
    Paper not yet in RePEc: Add citation now

  19. Hahn, M., Frühwirth-Schnatter, S., and J. Sass (2010) Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models, Journal of Financial Econometrics 8(1), 88-121.

  20. Hamilton, J. D. (1989) A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica, 57, 357-384.

  21. Hamilton, J. D. (1994) Time-Series Analysis. Princeton University Press.
    Paper not yet in RePEc: Add citation now
  22. Kauschke, J. (2010) Agent-Based Models for Financial Markets, Ph.D. thesis. University of Kiel.
    Paper not yet in RePEc: Add citation now
  23. Liechty, J. C. and G. O. Roberts (2001) Markov chain Monte Carlo methods for switching diffusion models, Biometrika 88(2), 299-315.
    Paper not yet in RePEc: Add citation now

  24. Lux, T. (2008) The markov-switching multifractal model of asset returns, Journal of Business and Economic Statistics 26(2), 194-210.

  25. Lux, T. and T. Kaizoji (2007) Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching, Journal of Economic Dynamics and Control 31(6), 1808-1843.

  26. Mandelbrot, B. (1974) Intermittent turbulence in self-similar cascades: Divergence of high moments and dimension of the carrier, Journal of Fluid Dynamics, 62, 331–358.
    Paper not yet in RePEc: Add citation now
  27. Mao, X. and Yuan, C., (2006), Stochastic differential equations with Markovian switching. Imperial College Pr.
    Paper not yet in RePEc: Add citation now
  28. Mao, X. et al. (2005) Numerical methods for stationary distributions of stochastic differential equations with Markovian switching, Journal of Computational and Applied Mathematics 174, 1-27.
    Paper not yet in RePEc: Add citation now
  29. Metzner, P., Horenko, I. and C. Schütte (2007) Generator estimation of Markov jump processes on incomplete observations non-equidistant in time, Physical Review E, 76, 066702.
    Paper not yet in RePEc: Add citation now
  30. Polyanin, A. and A. Manzhirov (2007), Handbook of Mathematics for Engineers And Scientists, London, Chapman & Hall.
    Paper not yet in RePEc: Add citation now

  31. Ramponi, A. (2011) Mixture dynamics and regime switching diffusions with application to option pricing, Methodology and Computing in Applied Probability 13, 349-368.

  32. Saporta, B., and Yao, J. F. (2005), Tail of a linear diffusion with Markov switching. The Annals of Applied Probability, 15, 992-1018.
    Paper not yet in RePEc: Add citation now
  33. Skorokhod, A. V. (2009) Asymptotic Methods in the Theory of Sochastic Differential Equations. Providence, American Mathematical Society.
    Paper not yet in RePEc: Add citation now

  34. Smith, D. R. (2002) Markov-switching and stochastic volatility diffusion models of short-term interest rates. Journal of Business and Economic Statistics 20(2), 183-197.

  35. Yin, G., and Zhu, C. (2010) Hybrid Switching Diffusions: Properties and Applications. New York, Springer.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Heterogeneous structural breaks in panel data models. (2021). Okui, Ryo ; Wang, Wendun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:220:y:2021:i:2:p:447-473.

    Full description at Econpapers || Download paper

  2. .

    Full description at Econpapers || Download paper

  3. Improved Average Estimation in Seemingly Unrelated Regressions. (2020). Ullah, Aman ; Amanullah, ; Mehrabani, Ali.
    In: Econometrics.
    RePEc:gam:jecnmx:v:8:y:2020:i:2:p:15-:d:351180.

    Full description at Econpapers || Download paper

  4. Relative error accurate statistic based on nonparametric likelihood. (2020). Matsushita, Yukitoshi ; Camponovo, Lorenzo ; Otsu, Taisuke.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:107521.

    Full description at Econpapers || Download paper

  5. Determining individual or time effects in panel data models. (2020). Su, Liangjun ; Lu, Xun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:215:y:2020:i:1:p:60-83.

    Full description at Econpapers || Download paper

  6. Nonparametric identification of discrete choice models with lagged dependent variables. (2020). Williams, Benjamin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:215:y:2020:i:1:p:286-304.

    Full description at Econpapers || Download paper

  7. Personal liberties, religiosity, and effort. (2019). Esteban, Joan ; Mayoral, Laura ; Levy, Gilat.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:101594.

    Full description at Econpapers || Download paper

  8. Commitment and welfare. (2019). Findley, Scott T ; Caliendo, Frank N.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:159:y:2019:i:c:p:210-234.

    Full description at Econpapers || Download paper

  9. Constructive identification in some nonseparable discrete choice models. (2019). Matzkin, Rosa L.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:211:y:2019:i:1:p:83-103.

    Full description at Econpapers || Download paper

  10. GEL estimation and tests of spatial autoregressive models. (2019). Lee, Lung-Fei ; Jin, Fei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:2:p:585-612.

    Full description at Econpapers || Download paper

  11. Financial crises, globalization, and insurer performance: Some international evidence. (2019). Lee, Chien-Chiang ; Chen, Pei-Fen ; Lin, Chun-Wei.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:48:y:2019:i:c:p:835-856.

    Full description at Econpapers || Download paper

  12. Estimating spot volatility in the presence of infinite variation jumps. (2018). Liu, Qiang.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:128:y:2018:i:6:p:1958-1987.

    Full description at Econpapers || Download paper

  13. Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect. (2018). Otsu, Taisuke ; Qiu, Chen .
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:595.

    Full description at Econpapers || Download paper

  14. An Empirical Analysis of Pre-Determined Food Demand in Russia. (2018). Shanoyan, Aleksan ; Hovhannisyan, Vardges.
    In: 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida.
    RePEc:ags:saea18:266579.

    Full description at Econpapers || Download paper

  15. Estimation of average marginal effects in multiplicative unobserved effects panel models. (2017). Martin, Robert S.
    In: Economics Letters.
    RePEc:eee:ecolet:v:160:y:2017:i:c:p:16-19.

    Full description at Econpapers || Download paper

  16. ASSESSING PROVINCIAL-LEVEL DEMAND FOR FOOD QUANTITY AND QUALITY IN CHINA: AN EASI DEMAND SYSTEM APPROACH. (2017). Hovhannisyan, Vardges ; Mendis, Sachintha .
    In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama.
    RePEc:ags:saea17:252797.

    Full description at Econpapers || Download paper

  17. Quantifying the Structure of Food Demand in Russia Using Provincial-Level Panel Data on Food Consumption. (2017). Shanoyan, Aleksan ; Hovhannisyan, Vardges.
    In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois.
    RePEc:ags:aaea17:259124.

    Full description at Econpapers || Download paper

  18. A Structural Model of Pre-committed Demand: The Case of Food Demand in China. (2017). Urutyan, Vardan ; Hovhannisyan, Vardges.
    In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois.
    RePEc:ags:aaea17:258200.

    Full description at Econpapers || Download paper

  19. Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. (2016). Todorov, Viktor ; Li, Sophia Zhengzi ; Bollerslev, Tim.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:120:y:2016:i:3:p:464-490.

    Full description at Econpapers || Download paper

  20. Do asset price drops foreshadow recessions?. (2016). Terrones, Marco ; Bluedorn, John ; Decressin, Jorg .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:518-526.

    Full description at Econpapers || Download paper

  21. A discontinuity test for identification in triangular nonseparable models. (2016). Rothe, Christoph ; Caetano, Carolina ; Yildiz, Nee .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:1:p:113-122.

    Full description at Econpapers || Download paper

  22. Dynamic copula models and high frequency data. (2015). Patton, Andrew ; De Lira Salvatierra, Irving, .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:30:y:2015:i:c:p:120-135.

    Full description at Econpapers || Download paper

  23. Binary response correlated random coefficient panel data models. (2015). Liang, Zhongwen ; Gao, Yichen .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:188:y:2015:i:2:p:421-434.

    Full description at Econpapers || Download paper

  24. Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes. (2015). Patton, Andrew ; Liu, Lily ; Sheppard, Kevin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:1:p:293-311.

    Full description at Econpapers || Download paper

  25. High dimensional generalized empirical likelihood for moment restrictions with dependent data. (2015). Chen, Song ; Chang, Jinyuan ; Song Xi Chen, .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:185:y:2015:i:1:p:283-304.

    Full description at Econpapers || Download paper

  26. Vertical Contracting with Informational Opportunism. (2015). MARTIMORT, David ; Dequiedt, Vianney.
    In: American Economic Review.
    RePEc:aea:aecrev:v:105:y:2015:i:7:p:2141-82.

    Full description at Econpapers || Download paper

  27. Estimation and Inference for Linear Panel Data Models Under Misspecification When Both n and T are Large. (2014). Galvao, Antonio F. ; Kato, Kengo.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:32:y:2014:i:2:p:285-309.

    Full description at Econpapers || Download paper

  28. Split-Panel Jackknife Estimation of Fixed-Effect Models. (2014). Jochmans, Koen ; Dhaene, Geert.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l.

    Full description at Econpapers || Download paper

  29. Split-Panel Jackknife Estimation of Fixed-Effect Models. (2014). Jochmans, Koen ; Dhaene, Geert.
    In: Sciences Po Economics Discussion Papers.
    RePEc:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l.

    Full description at Econpapers || Download paper

  30. High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data. (2014). Chen, Song ; Chang, Jinyuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:59640.

    Full description at Econpapers || Download paper

  31. Instrumental Variables: An Econometricians Perspective. (2014). Imbens, Guido.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19983.

    Full description at Econpapers || Download paper

  32. Instrumental Variables: An Econometricians Perspective. (2014). Imbens, Guido.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp8048.

    Full description at Econpapers || Download paper

  33. Bounding quantile demand functions using revealed preference inequalities. (2014). Matzkin, Rosa ; Kristensen, Dennis ; Blundell, Richard.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:179:y:2014:i:2:p:112-127.

    Full description at Econpapers || Download paper

  34. Identification problem of the exponential tilting estimator under misspecification. (2013). Sueishi, Naoya.
    In: Economics Letters.
    RePEc:eee:ecolet:v:118:y:2013:i:3:p:509-511.

    Full description at Econpapers || Download paper

  35. Optimal transmission regulation of an integrated energy market. (2012). Tangerås, Thomas ; Tangers, Thomas P..
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:5:p:1644-1655.

    Full description at Econpapers || Download paper

  36. Optimal comparison of misspecified moment restriction models under a chosen measure of fit. (2012). Otsu, Taisuke ; Marmer, Vadim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:2:p:538-550.

    Full description at Econpapers || Download paper

  37. Jump-robust volatility estimation using nearest neighbor truncation. (2012). Andersen, Torben ; Dobrev, Dobrislav ; Schaumburg, Ernst.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:1:p:75-93.

    Full description at Econpapers || Download paper

  38. Optimal inference for instrumental variables regression with non-Gaussian errors. (2012). Jansson, Michael ; Crump, Richard ; Cattaneo, Matias.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:167:y:2012:i:1:p:1-15.

    Full description at Econpapers || Download paper

  39. Identification in nonparametric limited dependent variable models with simultaneity and unobserved heterogeneity. (2012). Matzkin, Rosa.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:166:y:2012:i:1:p:106-115.

    Full description at Econpapers || Download paper

  40. Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies. (2012). Shin, Dong Wan ; Park, Sangun .
    In: Economics Letters.
    RePEc:eee:ecolet:v:115:y:2012:i:3:p:334-337.

    Full description at Econpapers || Download paper

  41. Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation. (2012). Kiviet, Jan ; Niemczyk, Jerzy .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3567-3586.

    Full description at Econpapers || Download paper

  42. Moderate deviations of generalized method of moments and empirical likelihood estimators. (2011). Otsu, Taisuke.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:102:y:2011:i:8:p:1203-1216.

    Full description at Econpapers || Download paper

  43. Size (of the product) matters. (2011). Reggiani, Carlo.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y:2011:i:4:p:329-344.

    Full description at Econpapers || Download paper

  44. Quantile regression for dynamic panel data with fixed effects. (2011). Galvao, Antonio F..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:1:p:142-157.

    Full description at Econpapers || Download paper

  45. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2011). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole E..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:149-169.

    Full description at Econpapers || Download paper

  46. Do high-frequency measures of volatility improve forecasts of return distributions?. (2011). McCurdy, Tom ; Maheu, John.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:69-76.

    Full description at Econpapers || Download paper

  47. Density Approximations for Multivariate Affine Jump-Diffusion Processes. (2011). Schneider, Paul ; Damir Filipovi'c, ; Mayerhofer, Eberhard .
    In: Papers.
    RePEc:arx:papers:1104.5326.

    Full description at Econpapers || Download paper

  48. Structural measurement errors in nonseparable models. (2010). Winter, Joachim ; hoderlein, stefan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:2:p:432-440.

    Full description at Econpapers || Download paper

  49. Heterogeneous treatment effects: Instrumental variables without monotonicity?. (2010). Klein, Tobias.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:155:y:2010:i:2:p:99-116.

    Full description at Econpapers || Download paper

  50. Prohibitions on punishments in private contracts. (2009). Newman, Andrew ; Bond, Philip.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:18:y:2009:i:4:p:526-540.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-18 07:29:39 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.