Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (Q3521273)
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scientific article; zbMATH DE number 5314825
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| English | Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models |
scientific article; zbMATH DE number 5314825 |
Statements
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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0.80384361743927
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0.7984625101089478
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0.7907016277313232
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0.7824754118919373
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0.7757247686386108
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