- Tytuł:
- Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
- Autorzy:
- Kostrzewski, Maciej
- Powiązania:
- https://bibliotekanauki.pl/articles/2076552.pdf
- Data publikacji:
- 2015
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
double exponential jump diffusion model
Kou model
Bernoulli jump-diffusion model
MCMC methods
latent variables - Opis:
- News might trigger jump arrivals in financial time series. The "bad" news and "good" news seem to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double exponential jump-diffusion model is proposed. Theorems stated in the paper enable estimation of the model’s parameters, detection of jumps and analysis of jump frequency. The methodology, founded upon the idea of latent variables, is illustrated with simulated data.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2015, 1; 43-70
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł