Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Robert J. Elliott, Vikram Krishnamurthy and Jörn Sass
| Year of publication: |
2008
|
|---|---|
| Authors: | Elliott, Robert J. ; Krishnamurthy, Vikram ; Sass, Jörn |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 11.2008, 2, p. 244-270
|
| Subject: | Volatilität | Volatility | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003750782