A correction note on: When the “Bull” meets the “Bear”: A First Passage Time Problem for a Hidden Markov Process
Document type:
Zeitschriftenaufsatz
Author(s):
Hieber, P.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
Guo (2001a) derived the Laplace transform of the first-passage time in a 2-state Markov-switching model and gave one of the pioneering works improving the analytical tractability of Markov-switching models. However, the Laplace transforms in her paper are wrong. This short note provides the correct expression and an alternative proof using the matrix Wiener-Hopf technique.