On the estimation of regime-switching Lévy models
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Publication:2691688
DOI10.1515/snde-2016-0048OpenAlexW2587923132MaRDI QIDQ2691688
Stéphane Goutte, Julien Chevallier
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2016-0048
Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05)
Related Items (4)
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ⋮ Maximum cross section method in the filtering problem for continuous systems with Markovian switching ⋮ Kac-Lévy processes ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
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