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Statistical Method to Estimate a Regime-Switching Lévy Model

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Stochastic Models, Statistics and Their Applications

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 122))

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Abstract

A regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov regime-switching where all parameters depend on the value of a continuous time Markov chain. We start by giving general stochastic results. Estimation is performed following a two-step procedure. The EM-algorithm is extended to this new class of jump-diffusion regime-switching models. An empirical application is dedicated to the study of Asian equity markets.

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Acknowledgements

For useful comments and suggestions on previous drafts, we wish to thank Marco Lombardi, Stelios Bekiros, Raphaelle Bellando, Gilbert Colletaz, Cem Ertur, Francesco Serranito, Daniel Mirza as well as participants at the 2014 Symposium of the Society for Nonlinear Dynamics & Econometrics (Baruch College, New York, USA), the 2014 Annual Conference of the International Association for Applied Econometrics (Queen Mary, University of London, UK), and the LEO Economic Seminar (Université d’Orléans).

Author information

Authors and Affiliations

  1. Université Paris 8, Saint-Denis, France

    Julien Chevallier

  2. IPAG Business School (IPAG Lab), Paris, France

    Julien Chevallier

  3. Université Paris 8 (LED), Saint-Denis, France

    Stéphane Goutte

  4. ESG Management School (ESG MS), Paris, France

    Stéphane Goutte

Authors
  1. Julien Chevallier
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  2. Stéphane Goutte
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Corresponding author

Correspondence to Stéphane Goutte .

Editor information

Editors and Affiliations

  1. Institute of Statistics, RWTH Aachen University, Aachen, Germany

    Ansgar Steland

  2. Dept. of Computer Engineering, Control and Robotics, Wrocław University of Technology, Wrocław, Poland

    Ewaryst Rafajłowicz

  3. Inst. of Mathematics and Computer Science, Wrocław University of Technology, Wrocław, Poland

    Krzysztof Szajowski

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Chevallier, J., Goutte, S. (2015). Statistical Method to Estimate a Regime-Switching Lévy Model. In: Steland, A., Rafajłowicz, E., Szajowski, K. (eds) Stochastic Models, Statistics and Their Applications. Springer Proceedings in Mathematics & Statistics, vol 122. Springer, Cham. https://doi.org/10.1007/978-3-319-13881-7_42

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