Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (Q3521273): Difference between revisions

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Latest revision as of 10:53, 30 July 2024

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Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
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    Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (English)
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    21 August 2008
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    generalized method of moments
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    Markov switching model
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    moments based estimator
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    parameter estimation
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    regime switching
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