
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
View/ Open
Type
Document de travail / Working paperDate
2000Publisher
Université Paris-Dauphine
Series title
Cahiers du CEREMADESeries number
15Published in
Paris
Pages
12
Metadata
Show full item recordSubjects / Keywords
asset allocation; risk management; constant correlation; multidimensional diffusions; scalar diffusionsRelated items
Showing items related by title and author.
-
Koepfler, Georges; Dibos, Françoise (2001) Document de travail / Working paper
-
Dibos, Françoise; Koepfler, Georges (2001) Communication / Conférence
-
Dibos, Françoise; Pelletier, Sylvain; Koepfler, Georges (2005) Communication / Conférence
-
Dibos, Françoise; Jonchery, Claire; Koepfler, Georges (2006) Communication / Conférence
-
Dibos, Françoise; Jonchery, Claire; Koepfler, Georges (2008) Article accepté pour publication ou publié