Former Member

Dr. Markus Hahn

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Peer Reviewed Journal Publication
  • Hahn, M.; Frühwirth-Schnatter, S.; Sass, J. (2009) Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models. Journal of Financial Econometrics, Bd. 8 (1), S. 88-121.
  • Hahn, M.; Frühwirth-Schnatter, S.; Sass, J. (2009) Estimating models based on Markov jump processes given fragmented observation series. AStA Advances in Statistical Analysis, Bd. 93 (4), S. 403-425 . (link)
  • Hahn, M.; Sass, J. (2009) Parameter estimation in continuous-time markov switching models - A semi-continous Markov chain Monte Carlo approach. Bayesian Analysis, Bd. 4 (1), S. 63-84. (link)
  • M. Hahn, W. Putschögl, J. Sass (2007) Portfolio Optimization with Non-Constant Volatility and Partial Information. Brazilian Journal of Probability and Statistics, Bd. 1 (21), S. 27-61.

Conference Contribution: Publication in Proceedings
  • M. Hahn, W. Putschögl, J. Sass (2008) Optimizing Consumption and Investment: The Case of Partial Information., Operations Research Proceedings 2007: Springer.
  • M. Hahn, W. Putschögl, J. Sass (2007) Parameter Estimation for Stock Models with Non-Constant Volatility using Markov Chain Monte Carlo Methods. In: K.-H. Waldmann, U.M. Stocker (Hrsg.), Operations Research Proceedings 2006 (Operations Research 2006) In Reihe: Operations Research Proceedings; Berlin: Springer, S. 227-232.

Conference Contribution: Poster (in Proceedings)
  • Hahn, M. (2005) MCMC methods for parameter estimation in continuous time Markov switching stock models (Poster).

Dissertation
  • Hahn, M. (2006) Markov Chain Monte Carlo Calibration of Continuous Time Stock Models with Regime Switching and Stochastic Volatility. Doktorarbeit, Johannes Kepler University Linz.

Research Report
  • Hahn, M.; Frühwirth-Schnatter, S.; Sass, J. (2007) Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models. Bericht-Nr. 2007-09;. (link)