{"entities":{"Q1668933":{"pageid":1679674,"ns":120,"title":"Item:Q1668933","lastrevid":68225598,"modified":"2026-04-12T22:16:02Z","type":"item","id":"Q1668933","labels":{"en":{"language":"en","value":"The role of the risk-neutral jump size distribution in single-factor interest rate models"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 6929085"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$84351020-155C-4935-B214-63C1EC4141E8","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"3e82149846887ff7ccf899dbe5afb91350368903","datavalue":{"value":{"text":"The role of the risk-neutral jump size distribution in single-factor interest rate models","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1668933$0E794AFA-BE0F-4611-B63E-E0FDD1652BE8","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"cf91b6331a046b37c718d6839bbc99301273edce","datavalue":{"value":"1433.91181","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1668933$3AE18F69-E4A9-4E56-9090-0FA87FCDE2A2","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"71eedcdeeca280b545e6d6b54eedf2e1def2f650","datavalue":{"value":"10.1155/2015/805695","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1668933$9B1E3981-227B-4FF0-B2AB-3C3DF0CB9E67","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"f8388f870371ec4faaf2df00f5b441f49a0de32b","datavalue":{"value":{"entity-type":"item","numeric-id":313644,"id":"Q313644"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$5E9C8CDA-C1A4-4691-951E-178884DB7261","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"f84386ac9fbd9b74239fa1c448d7c8740d49173e","datavalue":{"value":{"entity-type":"item","numeric-id":313646,"id":"Q313646"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$E5A68F78-1A66-4F8A-976C-C39C9D3C705D","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"d57614e948fd3618212cc11761c25c64d9f566a6","datavalue":{"value":{"entity-type":"item","numeric-id":162718,"id":"Q162718"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$225CEBEF-FD52-4BC6-82DD-EDD2DA05D60F","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"d467f198e8cd5f81e8828c7ef265401fce8f32ba","datavalue":{"value":{"time":"+2018-08-29T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1668933$0CBCD833-D15E-4EAC-A14B-2F420A5F4E6A","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"9aacfbdf9b1579f58ba696e5640b5f6ba2f8b6c1","datavalue":{"value":"Summary: We obtain a result that relates the risk-neutral jump size of interest rates with yield curve data. This function is unobservable; therefore, this result opens a way to estimate the jump size directly from data in the markets together with the risk-neutral drift and jump intensity estimations. Then, we investigate the finite sample performance of this approach with a test problem. Moreover, we analyze the effect of estimating the risk-neutral jump size instead of assuming that it is artificially absorbed by the jump intensity, as usual in the interest rate literature. Finally, an application to US Treasury Bill data is also illustrated.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1668933$5D5CF92F-E4B3-41BB-91CC-3EC103BABBF6","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"430bfe9f518c2ca34636300d2eb2688c66c08e36","datavalue":{"value":"91G30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1668933$B5004F6E-CF17-4817-A49A-BD909385876A","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"3fabd1d8b60517a72fad654d04205911f7eb3279","datavalue":{"value":"6929085","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1668933$3FF00F7A-2ECA-45E2-AC0D-00E5B2C7B9B9","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"78126fb0a2dfe73f8c3b12895389f3fee8bf6b33","datavalue":{"value":"Q59101432","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1668933$3DA61D64-CCBC-41A1-9811-80000A1152E3","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$70D1AC6C-8D5D-4773-8760-36791A48C6DD","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"f6ce9899c9e768dd8618a34f82c17d9a81f9cabf","datavalue":{"value":"https://doi.org/10.1155/2015/805695","type":"string"},"datatype":"url"},"type":"statement","id":"Q1668933$15E86238-F2E1-48B6-B21B-CBB946E2F9C4","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"bcf68168495f677343fce1621ab4f37f6e64e522","datavalue":{"value":"W1737872487","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1668933$41381675-110D-499E-986F-DD9E56952FD4","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"85a4ea9c1550c66d6e583a5252342879fd1f1a01","datavalue":{"value":{"entity-type":"item","numeric-id":1398983,"id":"Q1398983"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$75B856B1-3DF3-443E-8C50-44C51E4F4F44","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"18c912a58388bd70189cfe7bd66e0b49a5d2d555","datavalue":{"value":{"entity-type":"item","numeric-id":737264,"id":"Q737264"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$76CB5E34-63A4-4828-A656-9FC1566DAA8E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f357b0ffe054f3e3c2376f00689dd4aeff96b506","datavalue":{"value":{"entity-type":"item","numeric-id":491007,"id":"Q491007"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$D693DB1D-57E1-4517-ADF6-10210A1A732D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"bf56f0d68ee7f6609675905090d4a4a650a85026","datavalue":{"value":{"entity-type":"item","numeric-id":703133,"id":"Q703133"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$898D0941-E002-4DC4-A8AD-518765932021","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d895c4181dc715fcc0187f0e7f969b7e59fab8c4","datavalue":{"value":{"entity-type":"item","numeric-id":3999325,"id":"Q3999325"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$EC0F43C4-93DD-48AC-B2C5-3C5F68FAC319","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c88e9b1ea557813239f440efef0f7cafdf7d055a","datavalue":{"value":{"entity-type":"item","numeric-id":983262,"id":"Q983262"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$9CF903E5-CB97-41C2-836F-92004F21AB9C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"129b4116192a3a2ce3eb00c2cae30f2962c4f067","datavalue":{"value":{"entity-type":"item","numeric-id":375236,"id":"Q375236"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$3B978624-87EA-48B4-BFB0-8C708D6707A0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"08b8b9c2192485459d229f1e5b759a41d8b78256","datavalue":{"value":{"entity-type":"item","numeric-id":1883335,"id":"Q1883335"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$668E3977-2656-4130-9D1D-22B6789D930B","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"5c5a632d1c6f0cec5e061d065aa1517abab08288","datavalue":{"value":{"entity-type":"item","numeric-id":491007,"id":"Q491007"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"6747659699c5df3be6671a052864bd98f0c7f117","datavalue":{"value":{"amount":"+0.8832460045814514","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1668933$8156986C-21D0-42B3-881A-B86328AA68FE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"7f800f60bff83adf429adfd49adc7d35e2d8b760","datavalue":{"value":{"entity-type":"item","numeric-id":1631415,"id":"Q1631415"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"929cf969b027760c48703b6545548b962f708998","datavalue":{"value":{"amount":"+0.8412936329841614","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1668933$3C9A1603-DF94-4372-9584-645338217615","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"24f4c63948a6e2d840bea6575be5b3ef60f4178c","datavalue":{"value":{"entity-type":"item","numeric-id":4689054,"id":"Q4689054"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ea25f9d71be8fe6f45719743a55822a45804a153","datavalue":{"value":{"amount":"+0.800602376461029","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1668933$4017670B-F3F8-4D5F-BB52-24CD4EC9ADCB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"5477f327922664f6c7637a35721e5d1fd3a628e9","datavalue":{"value":{"entity-type":"item","numeric-id":409791,"id":"Q409791"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"53b90e9b20890dd0bb65eb114b9dab1ce339b1eb","datavalue":{"value":{"amount":"+0.7337863445281982","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1668933$A986417C-BEE5-4062-AC3C-0E498564AAF3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"dd1727b7489cae21f33d38adfd93523782af2397","datavalue":{"value":{"entity-type":"item","numeric-id":5196299,"id":"Q5196299"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e10c0923ad22b59bb0b2b584edadab31cb32c3ba","datavalue":{"value":{"amount":"+0.7282425761222839","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1668933$BFEB677F-16DE-42EE-9718-AD5E928884E7","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"daf5f856a5d861312ad309ab567540337a5f61d6","datavalue":{"value":{"entity-type":"item","numeric-id":57050,"id":"Q57050"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1668933$9CAAFB74-5901-45CD-B63F-74DDD6327A28","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"The role of the risk-neutral jump size distribution in single-factor interest rate models","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/The_role_of_the_risk-neutral_jump_size_distribution_in_single-factor_interest_rate_models"}}}}}