英文标题：
《Bayesian DEJD model and detection of asymmetric jumps》
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作者：
Maciej Kostrzewski
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最新提交年份：
2014
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英文摘要：
News might trigger jump arrivals in financial time series. The \"bad\" and \"good\" news seems to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double exponential jump-diffusion model is proposed. Theorems stated in the paper enable estimation of the model\'s parameters, detection of jumps and analysis of jump frequency. The methodology, founded upon the idea of latent variables, is illustrated with two empirical studies, employing both simulated and real-world data (the KGHM index). News might trigger jump arrivals in financial time series. The \"bad\" and \"good\" news seems to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double exponential jump-diffusion model is proposed. Theorems stated in the paper enable estimation of the model\'s parameters, detection of jumps and analysis of jump frequency. The methodology, founded upon the idea of latent variables, is illustrated with two empirical studies, employing both simulated and real-world data (the KGHM index).
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中文摘要：
新闻可能会引发金融时间序列的激增。“坏”和“好”消息似乎有明显的影响。在研究中，采用双指数跳跃分布来模拟向下和向上的跳跃。提出了贝叶斯双指数跳扩散模型。文中所述定理可用于估计模型参数、检测跳跃和分析跳跃频率。该方法基于潜在变量的思想，通过两项实证研究进行了说明，采用了模拟和真实数据（KGHM指数）。新闻可能会引发金融时间序列的激增。“坏”和“好”消息似乎有明显的影响。在研究中，采用双指数跳跃分布来模拟向下和向上的跳跃。提出了贝叶斯双指数跳扩散模型。文中所述定理可用于估计模型参数、检测跳跃和分析跳跃频率。该方法基于潜在变量的思想，通过两项实证研究进行了说明，采用了模拟和真实数据（KGHM指数）。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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