Macquarie University, Sydney Macquarie University ResearchOnline

Showing items 1 - 2 of 2.

Add to Quick Collection   All 2 Results

  • First
  • Previous
  • 1
  • Next
  • Last
Sort:
 Add All Items to Quick Collection
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143451
Description: We derive a nonlinear filter and the corresponding filter-based estimates for a threshold autoregressive stochastic volatility (TARSV) model. Using the technique of a reference probability measure, we ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/135675
Description: We discuss ruin theory when the insurance risk process is described by a hidden Markov, regime-switching diffusion process. The innovations approach to filtering theory is used to transform the partia ... More
Reviewed: Reviewed
  • First
  • Previous
  • 1
  • Next
  • Last