How should a local regime-switching model be calibrated?
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Publication:1655569
DOI10.1016/j.jedc.2017.03.005zbMath1401.91493OpenAlexW2600714776MaRDI QIDQ1655569
Publication date: 9 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/eispapers1/200
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Statistical methods; economic indices and measures (91B82) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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