Damian, Camilla, Frey, Rüdiger, Kurt, Kevin. 2019. EM Algorithm for a CIR Process with Markov-modulated Mean Reversion Level and Application to Eurozone Credit Spreads. VCMF-2019, Vienna, Austria, 09.09-11.09.
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Status of publication | Published |
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Affiliation | WU |
Type of publication | Paper presented at an academic conference or symposium |
Language | English |
Title | EM Algorithm for a CIR Process with Markov-modulated Mean Reversion Level and Application to Eurozone Credit Spreads |
Event | VCMF-2019 |
Year | 2019 |
Date | 09.09-11.09 |
Country | Austria |
Location | Vienna |
Associations
- People
- Damian, Camilla (Former researcher)
- Frey, Rüdiger (Details)
- Kurt, Kevin (Details)
- Organization
- Institute for Statistics and Mathematics IN (Details)