Forecasting return volatility: Level shifts with varying jump probability and mean reversion
نویسندگان
چکیده
منابع مشابه
Mean-reversion Jump-diffusion
From the spot prices we have to identify the following six parameters: α , μ, σ, Km , γ, Φ. If necessary, a seventh parameter, λ, should be identified from the futures prices. The six parameters mentioned above can be identified using the maximum likelihood method (Ball and Torous, 1983; Lien and Strom, 1999; Clewlow and Strickland, 2000) or the moments method (Lien and Strom, 1999; Deng, 1999)...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2014
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2013.12.012