<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="6.x">Drupal-Biblio</source-app><ref-type>5</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">Mota, Pedro</style></author></authors><secondary-authors><author><style face="normal" font="default" size="100%">João Lita da Silva</style></author><author><style face="normal" font="default" size="100%">Caeiro, Frederico</style></author><author><style face="normal" font="default" size="100%">Natário, Isabel</style></author><author><style face="normal" font="default" size="100%">Braumann, A. Carlos</style></author></secondary-authors></contributors><titles><title><style face="normal" font="default" size="100%">On a Continuous-Time Stock Price Model with Two Mean Reverting Regimes</style></title><secondary-title><style face="normal" font="default" size="100%">Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications</style></secondary-title></titles><dates><year><style  face="normal" font="default" size="100%">2013</style></year></dates><urls><web-urls><url><style face="normal" font="default" size="100%">http://dx.doi.org/10.1007/978-3-642-34904-1_31</style></url></web-urls></urls><publisher><style face="normal" font="default" size="100%">Springer Berlin Heidelberg</style></publisher><pub-location><style face="normal" font="default" size="100%">Berlin, Heidelberg</style></pub-location><pages><style face="normal" font="default" size="100%">297–305</style></pages><isbn><style face="normal" font="default" size="100%">978-3-642-34904-1</style></isbn><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p&gt;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.&lt;/p&gt;
</style></abstract><notes><style face="normal" font="default" size="100%">n/a</style></notes></record></records></xml>