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Telling from discrete data whether the underlying continuous-time model is a diffusion
Can disrretely sampled financial data help us decide which continuous-time models are sensible ? diffusion processes are characterized by the continuity of their sample paths. This cannot be verified from the discrete sample path : even if the underlying path were continuous, data sampled at discrete times will always appear as a succession of jumps. Instead, i rely on the transition density to determine whether the discontinuities observed are the result of the discreteness of sampling, or rather evidence of genuine jump dynamics for the underlying continuous-time process..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : The American Finance Association |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 00221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |