Quasi-likelihood estimation of a threshold diffusion process
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Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cited in
(19)- Option pricing with threshold diffusion processes
- Approximate maximum likelihood estimation of a threshold diffusion process
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
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- Threshold models for Lévy processes and approximate maximum likelihood estimation
- Modified trajectory fitting estimators for multi-regime threshold Ornstein-Uhlenbeck processes
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