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2015 | 7 | nr 1 | 43--70
Tytuł artykułu

Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes

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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. (original abstract)
Opis fizyczny
  • Cracow University of Economics, Poland
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