Habituate
发表于 2025-3-25 03:34:54
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upstart
发表于 2025-3-25 10:59:53
Capital Asset Pricing for Markets with Intensity Based Jumpsty price processes that exhibit intensity based jumps. It is based on the natural assumption that investors prefer more for less, in the sense that for two given portfolios with the same variance of its increments, the one with the higher expected increment is preferred. If one additionally assumes
Inferior
发表于 2025-3-25 12:53:35
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急急忙忙
发表于 2025-3-25 15:59:40
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medium
发表于 2025-3-25 23:39:16
Modelling electricity prices by the potential jump-diffusionprice, such as mean-reverting jump-diffusions and regime-switching models are only partially successful in modelling price spikes. In this paper we introduce a new approach to electricity price modelling: a potential function jump-diffusion model, which allows for a continuously varying mean-reversi
迎合
发表于 2025-3-26 02:05:33
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Ingrained
发表于 2025-3-26 06:34:59
Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approachenewal theoretic arguments and the theory of optimal stopping are used to derive optimal strategies for maximizing the asymptotic growth rate under purely fixed costs which are proportional to the portfolio value. Our paper is also devoted to maximizing the asymptotic growth rate but here we conside
Heterodoxy
发表于 2025-3-26 11:01:37
Power and Multipower Variation: inference for high frequency dataropriately scaled absolute values of log-returns and neighbouring log-returns raised to a certain power. Given high frequency data we can use the concept of power and multipower variation in the context of model selection, namely to determine if the underlying process possesses a jump component, as
Inflammation
发表于 2025-3-26 13:52:00
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清醒
发表于 2025-3-26 17:34:16
Extremal behavior of stochastic volatility modelsvarying tails. This results then in a volatility model with similarly heavy tails. As the last class of stochastic volatility models, we investigate a continuous time GARCH(1,1) model. Driven by an arbitrary Lévy process it exhibits regularly varying tails, volatility upwards jumps and clusters on high levels.