@inbook {Mota2013,
	title = {On a Continuous-Time Stock Price Model with Two Mean Reverting Regimes},
	booktitle = {Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications},
	year = {2013},
	note = {n/a},
	pages = {297{\textendash}305},
	publisher = {Springer Berlin Heidelberg},
	organization = {Springer Berlin Heidelberg},
	address = {Berlin, Heidelberg},
	abstract = {<p>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.</p>
},
	isbn = {978-3-642-34904-1},
	doi = {10.1007/978-3-642-34904-1_31},
	url = {http://dx.doi.org/10.1007/978-3-642-34904-1_31},
	author = {Mota, Pedro},
	editor = {Jo{\~a}o Lita da Silva and Caeiro, Frederico and Nat{\'a}rio, Isabel and Braumann, A. Carlos}
}
