Suchergebnisse

PDSim: A Shiny App for Polynomial Diffusion Model Simulation and Estimation

Multi-Factor Polynomial Diffusion Models and Inter-Temporal Futures Dynamics

On Correlated Measurement Errors in the Schwartz-Smith Two-Factor Model

In: Han, Jun S., Kordzakhia, Nino, Shevchenko, Pavel V. and Trück, Stefan. "On Correlated Measurement Errors in the Schwartz-Smith Two-Factor Model" Dependence Modeling, vol. 10, no. 1, 2022, pp. 108-122. https://doi.org/10.1515/demo-2022-0106

On the Parameter Estimation in the Schwartz-Smith's Two-Factor Model

In: In Statistics and Data Science: Research School on Statistics and Data Science, RSSDS 2019, Melbourne, VIC, Australia, July 24–26, 2019, Proceedings 1 (pp. 226-237). Springer Singapore.