PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS
Year of publication: |
2005
|
---|---|
Authors: | WU, PING ; ELLIOTT, ROBERT J. |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 06, p. 791-806
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Reference probability | martingales | filtering equations | jump process |
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