Parameter estimation for a regime-switching mean-reverting model with jumps

International Journal of Theoretical and Applied Finance

Volumn 8, Issue 6, 2005, Pages 791-806

  Wu, P ^a   Elliott, Robert J ^b  

^a BANK OF CANADA   (Canada)

^b UNIVERSITY OF CALGARY   (Canada)

Author keywords

Filtering equations; Jump process; Martingales; Reference probability

Indexed keywords

EID: 25144470144     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024905003268     Document Type: Article

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