Full Bayesian Analysis for a Class of Jump-Diffusion Models
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Publication:5321902
DOI10.1080/03610920802395694zbMATH Open1167.62454arXiv0708.4131OpenAlexW2022270942WikidataQ105583975 ScholiaQ105583975MaRDI QIDQ5321902FDOQ5321902
Authors: Soledad Torres, L. R. Rifo 
Publication date: 16 July 2009
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Abstract: A new Bayesian significance test is adjusted for jump detection in a diffusion process. This is an advantageous procedure for temporal data having extreme valued outliers, like financial data, pluvial or tectonic forces records and others.
Full work available at URL: https://arxiv.org/abs/0708.4131
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Cites Work
- The pricing of options and corporate liabilities
- A jump-diffusion model for option pricing
- Anticipating Catastrophes through Extreme Value Modelling
- Option pricing when underlying stock returns are discontinuous
- Title not available (Why is that?)
- Evidence and credibility: Full Bayesian signifiance test for precise hypotheses
- On the Bayesianity of Pereira-Stern tests
- Simulation-based exact jump tests in models with conditional heteroskedasticity
- The wavelet identification for jump points of derivative in regression model
Cited In (7)
- The \(e\)-value: a fully Bayesian significance measure for precise statistical hypotheses and its research program
- Bayesian inference on the memory parameter for gamma-modulated regression models
- Bayesian inference for the jump-diffusion model with \(M\) jumps
- Full Bayesian analysis for a model of tail dependence
- Full Bayesian approach for signal detection with an application to boat detection on underwater soundscape data
- `Purposely misspecified' posterior inference on the volatility of a jump diffusion process
- Bayesian Estimation for the Markov-Modulated Diffusion Risk Model
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