A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Alessandro Pollastri, Paulo Rodrigues, Christian Schlag, Norman J. Seeger
| Year of publication: |
2023
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|---|---|
| Authors: | Pollastri, Alessandro ; Rodrigues, Paulo Jorge Maurício ; Schlag, Christian ; Seeger, Norman |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 70.2023, p. 322-341
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| Subject: | Individual stocks | Jump-diffusion models | Markov Chain Monte Carlo | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Volatilität | Volatility | Aktienindex | Stock index | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2022.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014423714