Full Bayesian Analysis for a Class of Jump-Diffusion Models

DOI10.1080/03610920802395694MaRDI QIDQ5321902zbMATH OpenOpenAlexWikidataFDO

Authors Soledad Torres, L. R. Rifo

Publication date 16 July 2009

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.4131, http://hdl.handle.net/10533/133162

zbMATH Keywords

full Bayesian significance testjump-diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60) Bayesian inference (62F15) Markov processes: hypothesis testing (62M02)

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.

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Cites work

• A jump-diffusion model for option pricing
• Anticipating Catastrophes through Extreme Value Modelling
• Evidence and credibility: Full Bayesian signifiance test for precise hypotheses
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• On the Bayesianity of Pereira-Stern tests
• Option pricing when underlying stock returns are discontinuous
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• The pricing of options and corporate liabilities
• The wavelet identification for jump points of derivative in regression model

Cited in

(7)

• `Purposely misspecified' posterior inference on the volatility of a jump diffusion process
• The \(e\)-value: a fully Bayesian significance measure for precise statistical hypotheses and its research program
• Bayesian inference for the jump-diffusion model with M jumps
• Bayesian inference on the memory parameter for gamma-modulated regression models
• Bayesian Estimation for the Markov-Modulated Diffusion Risk Model
• Full Bayesian approach for signal detection with an application to boat detection on underwater soundscape data
• Full Bayesian analysis for a model of tail dependence

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