@inbook{86e5ab41bc3548ad8186327ba17c232a,

title = "On a continuous-time stock price model with two mean reverting regimes",

abstract = "Motivated by the need to describe regime switching in stock prices, we introduce and study a stochastic process in continuous time with two regimes and one threshold driving the change in regimes. When the difference between the regimes is simply given by different sets of real-valued parameters for the drift and diffusion coefficients, we show that there are consistent estimators for the threshold as long as we know how to classify a given observation of the process as belonging to one of the two regimes.",

keywords = "Consistent estimator, Single threshold, Stochastic differential equation, Stock prex, Uhlenbeck process",

author = "Mota, {Pedro P.}",

note = "This work was partially supported by the Funda{\c c}{\~a}o para a Ci{\^e}ncia e a Tecnologia (Portuguese Foundation for Science and Technology) through PEst-OE/MAT/UI0297/2011 (CMA).",

year = "2013",

month = jan,

day = "1",

doi = "10.1007/978-3-642-34904-1_31",

language = "English",

isbn = "978-3-642-34903-4",

series = "Studies in Theoretical and Applied Statistics, Selected Papers of the Statistical Societies",

publisher = "Springer International Publishing Switzerland",

pages = "297--305",

editor = "{Lita da Silva}, J. and F. Caeiro and I. Nat{\'a}rio and C. Braumann",

booktitle = "Studies in Theoretical and Applied Statistics, Selected Papers of the Statistical Societies",

}