Estimation of the regime shifts of the volatility and the trend by a variational method
| Year of publication: |
2000
|
|---|---|
| Authors: | Dibos, Françoise ; Koepfler, Georges ; Lopez, Christian |
| Institutions: | Université Paris-Dauphine (Paris IX) |
| Subject: | asset allocation | risk management | constant correlation | multidimensional diffusions | scalar diffusions |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Published in Cahiers du CEREMADE, 2000 |
| Classification: | C6 - Mathematical Methods and Programming |
| Source: |
Persistent link: https://www.econbiz.de/10010706761