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Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes |
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| Authors: | Alessandro De Gregorio |
| Institution: | Dipartimento di Scienze Economiche, Aziendali e Statistiche , Milan, Italy |
| Abstract: | |
| Keywords: | Change point problem Diffusion process Discrete observations Nonparametric estimator Volatility regime switch |