Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes
From MaRDI portal
Publication:6633190
DOI10.1007/s10959-024-01343-3MaRDI QIDQ6633190
Publication date: 5 November 2024
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
stochastic differential equationleast squares estimatorsequential methodthreshold Ornstein-Uhlenbeck process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Threshold effects in non-dynamic panels: Estimation, testing, and inference
- On identification of the threshold diffusion processes
- Fick's law and Fokker-Planck equation in inhomogeneous environments
- Quasi-likelihood estimation of a threshold diffusion process
- Cube root asymptotics
- Numerical issues in threshold autoregressive modeling of time series
- On continuous-time threshold ARMA processes
- Controlled diffusion models for optimal dividend pay-out
- Statistical estimation of the oscillating Brownian motion
- Nonparametric regression with multiple thresholds: estimation and inference
- Uniqueness for diffusions with piecewise constant coefficients
- Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
- On the time of the maximum of Brownian motion with drift
- Strong solutions of stochastic equations with rank-based coefficients
- Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
- On optimal dividends: from reflection to refraction
- A Theory of the Term Structure of Interest Rates
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- Asymptotic Statistics
- Estimating and Testing Linear Models with Multiple Structural Changes
- A Markov chain approximation scheme for option pricing under skew diffusions
- Maximum likelihood drift estimation for a threshold diffusion
- Threshold Models for Rainfall and Convection: Deterministic versus Stochastic Triggers
- An equilibrium characterization of the term structure
- DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
- A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA
- Advection-dispersion across interfaces
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
- Modified trajectory fitting estimators for multi-regime threshold Ornstein-Uhlenbeck processes
- Testing for Threshold Diffusion
This page was built for publication: Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes