How should a local regime-switching model be calibrated?
From MaRDI portal
Publication:1655569
DOI10.1016/j.jedc.2017.03.005zbMath1401.91493MaRDI QIDQ1655569
Publication date: 9 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/eispapers1/200
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B70: Stochastic models in economics
93E20: Optimal stochastic control
91B82: Statistical methods; economic indices and measures
60J28: Applications of continuous-time Markov processes on discrete state spaces
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