Markov regime switching of stochastic volatility Lévy model on approximation mode

DOI10.1155/2013/549304MaRDI QIDQ1789998zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Arthit Intarasit

Publication date 10 October 2018

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2013/549304

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(5)

• Dynamics of a mean-reverting stochastic volatility equation with regime switching
• Markov regime switching in mean and in fractional integration parameter
• Simulation-based sequential analysis of Markov switching stochastic volatility models
• Statistical method to estimate a regime-switching Lévy model
• Specification analysis in regime-switching continuous-time diffusion models for market volatility

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