Statistical Method to Estimate a Regime-Switching Levy Model

被引：0
|
作者：
Chevallier, Julien [1 ,2 ]
Goutte, Stephan [3 ,4 ]
机构：
[1] Univ Paris 08, St Denis, France
[2] IPAG Business Sch, IPAG Lab, Paris, France
[3] Univ Paris 08, LED, St Denis, France
[4] ESG MS, Paris, France
来源：
STOCHASTIC MODELS, STATISTICS AND THEIR APPLICATIONS | 2015年 / 122卷
关键词：
D O I：
10.1007/978-3-319-13881-7_42
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A regime-switching Levy model combines jump-diffusion under the form of a Levy process, and Markov regime-switching where all parameters depend on the value of a continuous time Markov chain. We start by giving general stochastic results. Estimation is performed following a two-step procedure. The EM-algorithm is extended to this new class of jump-diffusion regime-switching models. An empirical application is dedicated to the study of Asian equity markets.
引用
收藏
页码：381 / 389
页数：9
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