Multivariate Jacobi process with application to smooth transitions
From MaRDI portal
Publication:292036
DOI10.1016/j.jeconom.2005.01.014zbMath1337.62365OpenAlexW2089774894MaRDI QIDQ292036
Joanna Jasiak, Christian Gouriéroux
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.014
Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40)
Related Items
Polynomial jump-diffusions on the unit simplex, A jump-diffusion model for the euro overnight rate, The impact of randomness on the distribution of wealth: some economic aspects of the Wright-Fisher diffusion process, Polynomial diffusions and applications in finance, PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION, The Jacobi stochastic volatility model, The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes, Size Distortion in the Analysis of Volatility and Covolatility Effects, Wavelets-based estimation of nonlinear canonical analysis, On the Kemeny time for continuous-time reversible and irreversible Markov processes with applications to stochastic resetting and to conditioning towards forever-survival, Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model, Time-inhomogeneous polynomial processes, Jacobi Processes with Jumps as Neuronal Models: A First Passage Time Analysis, Polynomial Jump-Diffusion Models, A stochastic diffusion process for the Dirichlet distribution, Diffusion processes satisfying a conservation law constraint, Stochastic volatility and stochastic leverage, Modeling the intraday electricity demand in Germany, Polynomial diffusions on compact quadric sets, A stochastic diffusion process for Lochner's generalized Dirichlet distribution, On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity, Polynomial processes in stochastic portfolio theory, Exponential series estimator of multivariate densities, Polynomial processes and their applications to mathematical finance, On optimal arbitrage, Linear credit risk models, Assessing the quality of volatility estimators via option pricing, On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation, Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion), Control strategies for transport networks under demand uncertainty, Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- An efficient nonparametric estimator for models with nonlinear dependence
- Analysis of time series subject to changes in regime
- Evolutionary dynamics with aggregate shocks
- Estimating equations based on eigenfunctions for a discretely observed diffusion process
- Autoregressive conditional heteroskedasticity and changes in regime
- Short rate nonlinearities and regime switches.
- Moments of Markov switching models
- A Theory of the Term Structure of Interest Rates
- The Structure of Bivariate Distributions
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
- An equilibrium characterization of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
