Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (Q3521273): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models |
scientific article |
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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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