Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets

DOI10.1111/sjos.12597OpenAlexW4225380811MaRDI QIDQ6073420

Gernot J. Müller, Unnamed Author

Publication date: 11 October 2023

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12597

zbMATH Keywords

consistencystochastic differential equationsEuler methodGirsanov formulaparticle filteringdiscontinuous drift

Mathematics Subject Classification ID

Statistics (62-XX)

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