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On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001825768
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Data-driven jump detection thresholds for application in jump regressions
Davies, Robert; Tauchen, George Eugene - 2015
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011524214
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Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter
Woerner, Jeannette H. C. - 2003
Persistent link: https://www.econbiz.de/10009581651
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Estimation of integrated volatility in stochastic volatility models
Woerner, Jeannette H. C. - 2003
Persistent link: https://www.econbiz.de/10009581654
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Limit theorems for stationary increments Lévy driven moving averages
Basse-O'Connor, Andreas; Lachièze-Rey, Raphaël; … - 2015
Persistent link: https://www.econbiz.de/10011398661
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Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Fissler, Tobias; Podolskij, Mark - 2014
Persistent link: https://www.econbiz.de/10010442414
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Polynomial preserving diffusions and applications in finance
Filipović, Damir; Larsson, Martin - 2014
This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and electricity. Uniqueness of polynomial...
Persistent link: https://www.econbiz.de/10010442937
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Stationary bubble equilibria in rational expectation models
Gouriéroux, Christian; Jasiak, Joann; Monfort, Alain - 2016
Persistent link: https://www.econbiz.de/10012182001
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Uniform integrability of a single jump local martingale with state-dependent characteristics
Schatz, Michael; Sornette, Didier - 2017
We investigate a deterministic criterion to determine whether a diffusive local martingale with a single jump and state …-dependent characteristics is a uniformly integrable martingale. We allow the diffusion coefficient, the jump hazard rate and the relative jump … size to depend on the state and prove that the process is a uniformly integrable martingale if and only if the relative …
Persistent link: https://www.econbiz.de/10011762245
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Detecting money market bubbles
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - 2016
Persistent link: https://www.econbiz.de/10011778131