most citedHeavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching

7 citations · 7 across the 1 of their papers we have counts for

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1 paper

math.PR2017★ 7 cited

Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching

Tongtong Hou, Jinghai Shao

This work is denoted to studying the tail behavior of Cox-Ingersoll-Ross (CIR) processes with regime-switching. One essential difference shown in this work between CIR process with…