Testing for Threshold Diffusion
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DOI: 10.1080/07350015.2015.1073594
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References listed on IDEAS
- Dieter Sondermann, 2006. "Introduction to Stochastic Calculus for Finance," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-34837-5, October.
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Cited by:
- Antoine Lejay & Paolo Pigato, 2017. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Working Papers hal-01669082, HAL.
- Antoine Lejay & Paolo Pigato, 2019.
"A Threshold Model For Local Volatility: Evidence Of Leverage And Mean Reversion Effects On Historical Data,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-24, June.
- Antoine Lejay & Paolo Pigato, 2017. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Papers 1712.08329, arXiv.org, revised Feb 2019.
- Antoine Lejay & Paolo Pigato, 2019. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Post-Print hal-01669082, HAL.
- Antoine Lejay & Paolo Pigato, 2020. "Maximum likelihood drift estimation for a threshold diffusion," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 609-637, September.
- Heiko Rachinger & Edward M. H. Lin & Henghsiu Tsai, 2024. "A bootstrap test for threshold effects in a diffusion process," Computational Statistics, Springer, vol. 39(5), pages 2859-2872, July.
- Dingwen Zhang, 2024. "Determining the Number and Values of Thresholds for Multi-regime Threshold Ornstein–Uhlenbeck Processes," Journal of Theoretical Probability, Springer, vol. 37(4), pages 3581-3626, November.
- Giannerini, Simone & Goracci, Greta & Rahbek, Anders, 2024. "The validity of bootstrap testing for threshold autoregression," Journal of Econometrics, Elsevier, vol. 239(1).
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