Investigation of structural changes of continuous-time asset return models

zbMATH Open1150.62450MaRDI QIDQ3501461FDOQ3501461

Authors:

Publication date: 3 June 2008

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zbMATH Keywords

likelihood ratio testMonte Carlo methodsMarkov chainsBayes methods

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (2)

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• Interaction between stock indices via changepoint analysis

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