Showing 1 - 10 of 1,658
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10010361470
Persistent link: https://www.econbiz.de/10011487524
Persistent link: https://www.econbiz.de/10012254540
Persistent link: https://www.econbiz.de/10011589013
Persistent link: https://www.econbiz.de/10011920538
Persistent link: https://www.econbiz.de/10012181335
Persistent link: https://www.econbiz.de/10013441653
Persistent link: https://www.econbiz.de/10014391457
fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias … long and short positions. Our aim is to utilize the advantages of this model, but still use the bootstrap resampling method …
Persistent link: https://www.econbiz.de/10011632622
Persistent link: https://www.econbiz.de/10010476914