Threshold estimation of Markov models with jumps and interest rate modeling

DOI10.1016/j.jeconom.2010.03.019zbMath1441.62809OpenAlexW2005909311MaRDI QIDQ737264

Cecilia Mancini, Roberto Renò

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.019

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (28)

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