Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets (Q6073420)
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scientific article; zbMATH DE number 7748357
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets |
scientific article; zbMATH DE number 7748357 |
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Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets (English)
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11 October 2023
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consistency
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discontinuous drift
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Euler method
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Girsanov formula
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particle filtering
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stochastic differential equations
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