Moreno, Manuel; Serrano, Pedro; Stute, Winfried - In: European Journal of Operational Research 214 (2011) 3, pp. 656-664
The shot-noise jump-diffusion (SNJD) model aims to reflect how economic variables respond to the arrival of sudden information. This paper analyzes the SNJD model, providing its statistical distribution and closed-form expressions for the characteristic function and moments. We also analyze the...