Stock prices as branching processes in random environments: Estimation

Communications in Statistics Part B: Simulation and Computation

Volumn 28, Issue 4, 1999, Pages 957-975

  Dion, J P ^a   Epps, T W ^b  

^a UNIVERSITÉ DU QUÉBEC À MONTRÉAL   (Canada)

^b UNIVERSITY OF VIRGINIA   (United States)

Author keywords

Bienaym Galton Watson process; Markov process

Indexed keywords

EID: 28244484736     PISSN: 03610918     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610919908813587     Document Type: Article

References (9)

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3. Dion, J.P. and W.W. Esty (1979). "Estimation problems in branching processes with random environments." Ann. Statist. 3, 680-685.
4. Dion, J.P. and N.M. Yanev (1994). "Statistical inference for branching processes with an increasing random number of ancestors." J. Statist. Plan. and Inf., 39, 329-352.
5. Epps, T.W. (1996). "Stock prices as branching processes." Commun. in Statist.: Stochastic Models, 12, 529-558.
6. Harris, T.E. (1963). The Theory of Branching Processes. Springer-Verlag: Berlin.
7. Smith, W.L. and W. Wilkinson (1969). "On branching processes in random environments." Ann. Math. Statist., 40, 814-827.
8. Yanev, N.M. (1975). "On the statistics of branching processes." Theory Prob. Appl., 20, 612-622.
9. Yanev, N.M. (1985). "Limit theorems for estimators in Galton-Watson branching processes." C.R. Acad. Bulg. Sc., 38, 681-686.