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Estimation of the regime shifts of the volatility and the trend by a variational method

Dibos, Françoise; Koepfler, Georges; Lopez, Christian (2000), Estimation of the regime shifts of the volatility and the trend by a variational method. https://basepub.dauphine.fr/handle/123456789/6871

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Type
Document de travail / Working paper
Date
2000
Publisher
Université Paris-Dauphine
Series title
Cahiers du CEREMADE
Series number
15
Published in
Paris
Pages
12
Metadata
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Author(s)
Dibos, Françoise
Koepfler, Georges
Lopez, Christian
Subjects / Keywords
asset allocation; risk management; constant correlation; multidimensional diffusions; scalar diffusions
JEL
C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling