Arbeitspapier
Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model
This paper shows how exact solutions for the transient density of a large class of continuous-time Markov switching models can be obtained. We illustrate the pertinent approach for both simple diffusion models with a small number of regimes as well as for the more complicated so-called Poisson multifractal model introduced by Calvet and Fisher (2001) with an arbitrarily large number of regimes. Our results can be immediately applied as well to various popular Markov switching models in financial economics. Closed-form solutions provide for the possibility of exact maximum likelihood estimation for discretely sampled Markov-switching diffusions and also facilitate the use of such models in applied tasks such as option pricing and portfolio management.
- Language
-
Englisch
- Bibliographic citation
-
Series: Kiel Working Paper ; No. 1871
- Classification
-
Wirtschaft
Estimation: General
Financial Econometrics
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
-
regime switching
continuous-time models
multifractal models
- Event
-
Geistige Schöpfung
- (who)
-
Lux, Thomas
- Event
-
Veröffentlichung
- (who)
-
Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:47 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lux, Thomas
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2013
Other Objects (12)
Inference for nonlinear state space models: A comparison of different methods applied to Markov-switching multifractal models
Financial power laws: Empirical evidence, models, and mechanism
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
Stochastic behavioral asset pricing models and the stylized facts
Stochastic behavioral asset pricing models and the stylized facts
Estimation of agent-based models using sequential Monte Carlo methods
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo
Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo
Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Emergence of a core-periphery structure in a simple dynamic model of the interbank market
Inference for nonlinear state space models: A comparison of different methods applied to Markov-switching multifractal models
Financial power laws: Empirical evidence, models, and mechanism
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
Stochastic behavioral asset pricing models and the stylized facts
Stochastic behavioral asset pricing models and the stylized facts
Estimation of agent-based models using sequential Monte Carlo methods
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo
Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo
Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Emergence of a core-periphery structure in a simple dynamic model of the interbank market
Inference for nonlinear state space models: A comparison of different methods applied to Markov-switching multifractal models
Financial power laws: Empirical evidence, models, and mechanism
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
Stochastic behavioral asset pricing models and the stylized facts
Stochastic behavioral asset pricing models and the stylized facts
Estimation of agent-based models using sequential Monte Carlo methods
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo
Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo
Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility