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Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models

Ellott, Robert J Et al

Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models 2008 - 2008 - 244-270 V. 11 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Generalized method of moments;Markov switching model;Moments based estimator;Parameter estimation;Regime switching;

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