Robust parameter estimation for asset price models with Markov modulated volatilities
From MaRDI portal
Publication:951363
DOI10.1016/S0165-1889(02)00064-7zbMath1178.91222MaRDI QIDQ951363
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)
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