Modelling asynchronous assets with jump-diffusion processes

DOI10.1007/978-3-319-99719-3_43MaRDI QIDQ2417140zbMATH OpenOpenAlexFDO

Authors Yuxin Chen, R. Makarov

Publication date 11 June 2019

Full work available at URL https://doi.org/10.1007/978-3-319-99719-3_43

zbMATH Keywords

asset pricingjump-diffusionmaximum likelihood estimationmissing datamodel calibrationmultivariate jump-diffusion model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(1)

• A jump model for fads in asset prices under asymmetric information

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