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Persistent link: https://www.econbiz.de/10001866950
A regime switching model in continuous time is introduced where a variety of jumps are allowed in addition to the diffusive component. The characteristic function of the process is derived in closed form, and is subsequently employed to create the likelihood function. In addition, standard...
Persistent link: https://www.econbiz.de/10010284206
A regime switching model in continuous time is introduced where a variety of jumps are allowed in addition to the diffusive component. The characteristic function of the process is derived in closed form, and is subsequently employed to create the likelihood function. In addition, standard...
Persistent link: https://www.econbiz.de/10014099175