Author: Dana DüvelmeyerPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Ill-posedness of Parameter Estimation in Jump Diffusion Processes
Author: Dana DüvelmeyerParameter Estimation for the Drift of a Time-inhomogeneous Jump Diffusion Process
Author: Brice FrankeParameters Estimation for Jump-diffusion Process Based on Low and High Frequency Data
Author: Cai ZhuInference and Parameter Estimation for Diffusion Processes
Author: Simon LyonsRobust Drift Parameter Estimation in Diffusion Processes
Author: Sévérien NkurunzizaFiltering and Likelihood Estimation of Latent Factor Jump-Diffusions with an Application to Stochastic Volatility Models
Author: Francesco EspositoPublisher:
ISBN:
Category :
Languages : en
Pages : 28
Book Description
In this article we use a partial integral-differential approach to construct and extend a non-linear filter to include jump components in the system state. We employ the enhanced filter to estimate the latent state of multivariate parametric jump-diffusions. The devised procedure is flexible and can be applied to non-affine diffusions as well as to state dependent jump intensities and jump size distributions. The particular design of the system state can also provide an estimate of the jump times and sizes. With the same approch by which the filter has been devised, we implement an approximate likelihood for the parameter estimation of models of the jump-diffusion class. In the development of the estimation function, we take particular care in designing a simplified algorithm for computing. The likelihood function is then characterised in the application to stochastic volatility models with jumps. In the empirical section we validate the proposed approach via Monte Carlo experiments. We deal with the volatility as an intrinsic latent factor, which is partially observable through the integrated variance, a new system state component that is introduced to increase the filtered information content, allowing a closer tracking of the latent volatility factor. Further, we analyse the structure of the measurement error, particularly in relation to the presence of jumps in the system. In connection to this, we detect and address an issue arising in the update equation, improving the system state estimate.
Parameter Estimation in Stochastic Volatility Models
Author: Jaya P. N. BishwalPublisher: Springer Nature
ISBN: 3031038614
Category : Mathematics
Languages : en
Pages : 634
Book Description
This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
Estimation of Jump-diffusion Processes Via Empirical Characteristic Functions
Author: Maria SemenovaPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Thèse. HEC. 2006
Global Energy Policy and Security
Author: Walter Leal FilhoPublisher: Springer Science & Business Media
ISBN: 1447152867
Category : Business & Economics
Languages : en
Pages : 332
Book Description
Despite efforts to increase renewables, the global energy mix is still likely to be dominated by fossil-fuels in the foreseeable future, particularly gas for electricity and oil for land, air and sea transport. The reliance on depleting conventional oil and natural gas resources and the geographic distribution of these reserves can have geopolitical implications for energy importers and exporters. Global Energy Policy and Security examines the security of global and national energy supplies, as well as the sensitivity and impacts of sustainable energy policies which emphasize the various political, economic, technological, financial and social factors that influence energy supply, demand and security. Multidisciplinary perspectives provide the interrelated topics of energy security and energy policy within a rapidly changing socio-political and technological landscape during the 21st century. Included are two main types of interdisciplinary papers. One set of papers deals with technical aspects of energy efficiency, renewable energy and the use of tariffs. The other set of papers focuses on social, economic or political issues related to energy security and policy, also describing research, practical projects and other concrete initiatives being performed in different parts of the world. This book will prove useful to all those students and researchers interested in the connections between energy production, energy use, energy security and the role of energy policies.
Estimation for Diffusion Processes Under Misspecified Models
Author: Ian W. McKeaguePublisher:
ISBN:
Category :
Languages : en
Pages : 20
Book Description
The asymptotic behavior of the maximum likelihood estimator of a parameter in the drift term of a stationary ergodic diffusion process is studied under conditions in which the true drift function and the true noise function do not coincide with those specified by the parametric model. Originator-supplied key words include: Diffusion, Differential Equations.