Theodosiadou, Ourania; Polimenis, Vassilis; Tsaklidis, … - In: The Journal of Risk Finance 17 (2016) 4, pp. 456-472
aims to decompose the stock return evolution into positive and negative jumps, and a Brownian noise (white noise), by … taking into account different noise levels. This paper provides a sensitivity analysis of the model (through the analysis of … be considered to be normal, and the variance of these errors increases as the variance of the noise increases …