Quasi-likelihood estimation of a threshold diffusion process
Year of publication: |
December 2015
|
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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
|
Subject: | Girsanov's theorem | Interest rates | Nonlinear time series | Stochastic differential equation | Term structure | Stochastischer Prozess | Stochastic process | Theorie | Theory | Nichtlineare Regression | Nonlinear regression | Zinsstruktur | Yield curve | Zeitreihenanalyse | Time series analysis | Zins | Interest rate | Analysis | Mathematical analysis |
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