Esquível, Manuel L.; Krasii, Nadezhda P.; Mota, Pedro P.; … - In: Risks : open access journal 11 (2023) 11, pp. 1-20
in 2009. For this development, we rely on the precise formulation of diffusion auto-induced regime-switching models … presented in our previous work of 2020. The auto-induced regime-switching models referred to may be based on a finite set of … volume-which we take as a proxy of liquidity-is assumed to be the following: the regime switching in the price variable …