The Normality of Financial Data after an Extraction of Jumps in the Jump-Diffusion Model

• Autorzy: Albert Gardoń
• Języki publikacji: EN

Słowa kluczowe

EN

Financial analysis; Diffusion

PL

Analiza finansowa; Dyfuzja

• Czasopismo: Mathematical Economics
• Rocznik: 2011
• Numer: nr 7(14)
• Strony: 93--106

Twórcy

autor

Albert Gardoń

• Uniwersytet Ekonomiczny we Wrocławiu

Bibliografia

• Andersen T., Bollerslev T., Diebold F. (2007). Roughing it up: Including jump components in the measurement, modeling and forecasting of return volatility. Review of Economics and Statistics. Vol. 89. Pp. 701-720.
• Bandi F., Nguyen T. (2003). On the functional estimation of jump-diffusion models. Journal of Econometrics. Vol. 116. Pp. 293-328.
• Barndorff-Nielsen O.E., Shephard N. (2006). Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics. Vol. 4. Pp. 1-30.
• Cont R., Tankov P. (2004). Financial Modelling with Jump Processes. Chapman& Hall - CRC.
• Das S. (2002). The surprise element: Jumps in interest rates. Journal of Econometrics. Vol. 106. Pp. 27-65.
• Gardoń A. (2004). The order of approximations for solutions of it ô-type stochastic differential equations with jumps. Stochastic Analysis and Applications. Vol. 22. No. 3. Pp. 679-699.
• Gardoń A. (2006). The order 1.5 approximations for solutions of jump-diffusionequations. Stochastic Analysis and Applications. Vol. 24. No. 6. Pp. 1147-1168.
• Gardoń A. (2010). The identification of discontinuities for the jump-diffusion process by means of a modified threshold method. In: Proceedings of the International Scientific Conference AMSE 2010, Demänovská Dolina, Slovakia,26-29 August 2010, Pp. 105-114
• Glasserman P., Merener M. (2003). Numerical solution of jump-diffusion LIBORmarket models. Finance and Stochastics. Vol. 7. Pp. 1-27.
• Johannes M. (2004). The statistical and economic role of jumps in continuous-time interest rate models. Journal of Finance. Vol. 59. Pp. 227-260.
• Karatzas I., Shreve S.E. (1998). Methods of Mathematical Finance. Springer-Verlag. New York.
• Kloeden P.E., Platen E. (1995). Numerical Solution of Stochastic Differential Equations. Springer-Verlag. New York-Berlin-Heidelberg.
• Mancini C. (2004). Estimation of the parameters of jump of a general poissondiffusion model. Scandinavian Actuarial Journal. Vol. 1. Pp. 42-52.
• Mancini C. (2009). Non parametric threshold estimation for models with stochastic diffusion coefficient and jumps. Scandinavian Journal of Statistics. Vol. 36. Issue 2. Pp. 270-296.
• Ogihara T., Yoshida N. (2011). Quasi-likelihood analysis for the stochastic differential equation with jumps. Statistical Inference for Stochastic Processes. Vol. 14. Pp. 189-229.
• Peiró A. (1999). Skewness in financial returns. Journal of Banking and Finance. Vol. 23. Issue 6. Pp. 847-862.
• Shimizu Y., Yoshida N. (2006). Estimation of parameters for diffusion processes with jumps from discrete observations. Statistical Inference for Stochastic Processes. Vol. 9. Pp. 227-277.
• Sobczyk K. (1991). Stochastic Differential Equations with Applications to Physics and Engineering. Kluwer Academic Publishers B.V. Dordrecht.