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- W14651 abstract "AbstractMotivated by the need to describe regime switching in stock prices, we introduce and study a stochastic process in continuous time with two regimes and one threshold driving the change in regimes. When the difference between the regimes is simply given by different sets of real-valued parameters for the drift and diffusion coefficients, we show that there are consistent estimators for the threshold as long as we know how to classify a given observation of the process as belonging to one of the two regimes.KeywordsStochastic Differential EquationStock PrexConsistent EstimatorUhlenbeck ProcessSingle ThresholdThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves." @default.
- W14651 created "2016-06-24" @default.
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- W14651 date "2013-01-01" @default.
- W14651 modified "2023-09-25" @default.
- W14651 title "On a Continuous-Time Stock Price Model with Two Mean Reverting Regimes" @default.
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- W14651 doi "https://doi.org/10.1007/978-3-642-34904-1_31" @default.
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