Quotation 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.


RIS


BibTeX

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
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 (Details)
Frey, Rüdiger (Details)
Kurt, Kevin (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Google Scholar: Search