Stock prices as branching processes in random environments: estimation

DOI10.1080/03610919908813587zbMath0968.62548OpenAlexW1992037156MaRDI QIDQ4488754

T. W. Epps, Jean-Pierre Dion

Publication date: 9 July 2000

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919908813587

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Applications of branching processes (60J85)

Related Items

Large and moderate deviations for a renewal randomly indexed branching process, Critical randomly indexed branching processes, Large deviations for Lotka-Nagaev estimator of a randomly indexed branching process, Berry-Esseen type inequality for a Poisson randomly indexed branching process via Stein's method, Large and moderate deviations for a class of renewal random indexed branching process, Large deviations for a Poisson random indexed branching process, Asymptotic distributions and Berry-Esseen inequalities for Lotka-Nagaev estimator of a Poisson randomly indexed branching process, Controlled branching processes with continuous time, Deviations for martingale convergence of a branching process with random index, Limit theorems for a supercritical Poisson random indexed branching process, Deviations for jumping times of a branching process indexed by a Poisson process, Non-parametric Bayesian estimation for multitype branching processes through simulation-based methods, Notes on large deviations for branching processes indexed by a Poisson process

Cites Work

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• Statistical inference for branching processes with an increasing random number of ancestors
• Stock prices as branching processes
• On Branching Processes in Random Environments
• On Branching Processes with Random Environments: I: Extinction Probabilities