Quasi-likelihood estimation of a threshold diffusion process
type: Item
instance of: scholarly article
title: Quasi-likelihood estimation of a threshold diffusion process
zbMATH Open document ID: 1337.62207
author: Fei Su
author: Kung-Sik Chan
published in: Journal of Econometrics
publication date: 2015-10-30T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6502492
zbMATH Keywords: Girsanov's theorem
zbMATH Keywords: interest rates
zbMATH Keywords: nonlinear time series
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: term structure
MaRDI profile type: Publication
full work available at URL: j.jeconom.2015.03.038
OpenAlex ID: W2168483283
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DOI: 10.1016/J.JECONOM.2015.03.038
description: scientific article; zbMATH DE number 6502492