Threshold estimation of Markov models with jumps and interest rate modeling

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 77-92

  Mancini, Cecilia ^a   Ren, Roberto ^b  

^a UNIVERSITY OF FLORENCE   (Italy)

^b UNIVERSITY OF SIENA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC NORMALITY; DIFFUSION COEFFICIENTS; FINITE SAMPLES; INTEREST RATES; KERNEL ESTIMATION; LOCAL TIME; MARKOV MODEL; SEMIMARTINGALES; SHORT TERM; SIMULATED EXPERIMENTS; STATE VARIABLES; THRESHOLD ESTIMATION; THRESHOLD FUNCTIONS; UNIVARIATE; UNIVARIATE MODELS;

ASYMPTOTIC ANALYSIS; COMPUTER SIMULATION; MARKOV PROCESSES; SAMPLING;

ESTIMATION;

EID: 78649724963     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.019     Document Type: Conference Paper

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