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Statistical estimation for reflected skew processes

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  • Olivier Bardou
  • Miguel Martinez

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Suggested Citation

  • Olivier Bardou & Miguel Martinez, 2010. "Statistical estimation for reflected skew processes," Statistical Inference for Stochastic Processes, Springer, vol. 13(3), pages 231-248, October.
    • Handle: RePEc:spr:sistpr:v:13:y:2010:i:3:p:231-248
    DOI: 10.1007/s11203-010-9047-6
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    References listed on IDEAS

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    1. Laurent Bordes & Céline Delmas & Pierre Vandekerkhove, 2006. "Semiparametric Estimation of a Two‐component Mixture Model where One Component is known," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(4), pages 733-752, December.
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    Cited by:

    1. Antoine Lejay & Ernesto Mordecki & Soledad Torres, 2014. "Is a Brownian Motion Skew?," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 346-364, June.
    2. Bai, Yizhou & Xue, Cheng, 2021. "An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model," Research in International Business and Finance, Elsevier, vol. 57(C).
    3. Yizhou Bai & Yongjin Wang & Haoyan Zhang & Xiaoyang Zhuo, 2022. "Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 479-527, August.

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