Multivariate Jacobi process with application to smooth transitions

DOI10.1016/J.JECONOM.2005.01.014zbMath1337.62365OpenAlexW2089774894MaRDI QIDQ292036

Joanna Jasiak, Christian Gouriéroux

Publication date: 10 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.014

zbMATH Keywords

stochastic volatilityregime switchingcredit riskcontingency tableJacobi process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40)

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