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.
BibTeX
Tags
Press 'enter' for creating the tagPublication'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 (Former researcher)
- Frey, Rüdiger (Details)
- Kurt, Kevin (Details)
- Organization
- Institute for Statistics and Mathematics IN (Details)