Quasi-likelihood estimation of a threshold diffusion process
Fei Su, Kung-Sik Chan
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Su, Fei ; Chan, Kung-sik |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 189.2015, 2, p. 473-484
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| Subject: | Girsanov's theorem | Interest rates | Nonlinear time series | Stochastic differential equation | Term structure | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Nichtlineare Regression | Nonlinear regression | Zins | Interest rate | Analysis | Mathematical analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.03.038 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011504631