Asset Details

  • Description:
  • Higher noise and higher rates using b= (2, − 1), p= 0.52, L= 10.
  • License:
  • Rights Managed
  • Rights Holder:
  • John Wiley & Sons, Inc.
  • License Rights Holder:
  • © 2008 The Authors. Journal compilation © Royal Economic Society 2008
  • Asset Type:
  • Image
  • Asset Subtype:
  • Table
  • Image Orientation:
  • Image Dimensions:
  • 1024 x 412
  • Image File Size:
  • 113 KB
  • Creator:
  • Robert J. Elliott, Vikram Krishnamurthy, Jörn Sass
  • Credit:
  • Elliott, R. J., Krishnamurthy, V., & Sass, J. (2008). Moment based regression algorithms for drift and volatility estimation in continuous‐time Markov switching models. The Econometrics Journal, 11(2), 244-270. https://doi.org/10.1111/j.1368-423X.2008.00246.x.
  • Collection:
  • Keywords:
  • Restrictions:
  • Property Release:
  • No
  • Model Release:
  • No
  • Purchasable:
  • Yes
  • Sensitive Materials:
  • No
  • Article Authors:
  • Robert J. Elliott, Vikram Krishnamurthy, Jörn Sass
  • Article Copyright Year:
  • 2008
  • Publication Volume:
  • 11
  • Publication Issue:
  • 2
  • Publication Date:
  • 07/01/2008
  • DOI:
  • https://doi.org/10.1111/j.1368-423X.2008.00246.x

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