Detecting jumps and regime switches in international stock markets returns
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- Julien Chevallier & Stéphane Goutte, 2014. "Detecting jumps and regime-switches in international stock markets returns," Working Papers hal-01090833, HAL.
References listed on IDEAS
- Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe, 2018. "Regime-Switching Temperature Dynamics Model for Weather Derivatives," Papers 1808.04710, arXiv.org.
- Donatien Hainaut & Franck Moraux, 2019.
"A switching self-exciting jump diffusion process for stock prices,"
Annals of Finance,
Springer, vol. 15(2), pages 267-306, June.
- Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Post-Print halshs-01909772, HAL.
- Asante Gyamerah, Samuel & Ngare, Philip & Ikpe, Dennis, 2018. "A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives," MPRA Paper 89680, University Library of Munich, Germany, revised 10 Jul 2018.
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