Specification analysis in regime-switching continuous-time diffusion models for market volatility

DOI10.1515/snde-2016-0047OpenAlexW2588111887MaRDI QIDQ2691691

Kaddour Hadri, Jie Cheng, Ruijun Bu

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-2016-0047

zbMATH Keywords

endogeneitymaximum likelihood estimationnonlinear diffusionregime-switching modelvolatility indexconstant elasticity volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Diffusion copulas: identification and estimation ⋮ A multifactor transformed diffusion model with applications to VIX and VIX futures

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