Markov regime switching of stochastic volatility Lévy model on approximation mode

DOI10.1155/2013/549304zbMATH Open1397.62416DBLPjournals/jam/Intarasit13OpenAlexW1965845729WikidataQ59003001 ScholiaQ59003001MaRDI QIDQ1789998FDOQ1789998

Authors: Arthit Intarasit 

Publication date: 10 October 2018

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

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

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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)

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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