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Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria; Yoshida, Nakahiro - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1/2, pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
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Statistic analysis of stochastic resonance with ergodic diffusion noise
Iacus, Stefano Maria - 2001
Persistent link: https://www.econbiz.de/10001609109
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Statistical analysis of the inhomogeneous telegrapher's process
Iacus, Stefano Maria - 2001
Persistent link: https://www.econbiz.de/10001582676
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On a family of test statistics for discretely observed diffusion processes
De Gregorio, Alessandro; Iacus, Stefano Maria - 2011
Persistent link: https://www.econbiz.de/10011759552
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Estimation for the change point of the volatility in a stochastic differential equation
Iacus, Stefano Maria; Yoshida, Nakahiro - 2009
Persistent link: https://www.econbiz.de/10011751961
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On Lasso-type estimation for dynamical systems with small noise
Iacus, Stefano Maria - 2010
Persistent link: https://www.econbiz.de/10011752306
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Adaptive LASSO-type estimation for ergodic diffusion processes
Iacus, Stefano Maria; De Gregorio, Alessandro - 2010
Persistent link: https://www.econbiz.de/10011752309
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Option pricing and estimation of financial models with R
Iacus, Stefano M. - 2011 - 1. publ.
Persistent link: https://www.econbiz.de/10008936516
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Simulation and inference for stochastic differential equations : with R examples
Iacus, Stefano M. - 2008
Persistent link: https://www.econbiz.de/10003566199