Search Results - subject:"Compound Poisson"

On parameter estimation of threshold autoregressive models

Chan, Ngai; Kutoyants, Yury - In: Statistical Inference for Stochastic Processes 15 (2012) 1, pp. 81-104

Persistent link: https://www.econbiz.de/10010539196

Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 106 (2012) 3, pp. 447-472

Persistent link: https://www.econbiz.de/10009710173

Statistical Models for High Frequency Security Prices

Oomen, Roel C.A. - Econometric Society - 2004

This article studies two extensions of the compound Poisson process with iid Gaussian innovations which are able to …/ask spread encountered in price-driven markets. This model can be viewed as a mixture of the compound Poisson process model by … Press and the bid/ask bounce model by Roll. The second model generalizes the compound Poisson process to allow for an …

Persistent link: https://www.econbiz.de/10005063597

Climate and solar signals in property damage losses from hurricanes affecting the United States

Jagger, Thomas; Elsner, James; Burch, R. - In: Natural Hazards 58 (2011) 1, pp. 541-557

The authors show that historical property damage losses from US hurricanes contain climate signals. The methodology is based on a statistical model that combines a specification for the number of loss events with a specification for the amount of loss per event. Separate models are developed for...

Persistent link: https://www.econbiz.de/10010996467

Exchange Options Under Jump-Diffusion Dynamics

Cheang, Gerald; Chiarella, Carl - In: Applied Mathematical Finance 18 (2011) 3, pp. 245-276

This article extends the exchange option model of Margrabe, where the distributions of both stock prices are log-normal with correlated Wiener components, to allow the underlying assets to be driven by jump-diffusion processes of the type originally introduced by Merton. We introduce the...

Persistent link: https://www.econbiz.de/10009279096

Optimality of the threshold dividend strategy for the compound Poisson model

Yin, Chuancun; Yuen, Kam Chuen - In: Statistics & Probability Letters 81 (2011) 12, pp. 1841-1846

In this paper, we consider the optimal dividend problem for the compound Poisson risk model. We assume that dividends …

Persistent link: https://www.econbiz.de/10010571796

On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios

Dachian, Sergueï; Negri, Ilia - In: Statistical Inference for Stochastic Processes 14 (2011) 3, pp. 255-271

Persistent link: https://www.econbiz.de/10009325266

An unreliable production system with fluctuating production and demand rates

Mohebbi, Esmail - In: International Journal of Applied Management Science 2 (2010) 1, pp. 20-35

characterised as a compound Poisson process. Assuming that the storage space is limited and the stockouts are lost, the proposed …

Persistent link: https://www.econbiz.de/10008755267

Estimation of split-points in binary regression

Ferger, Dietmar; Klotsche, Jens - In: Statistics & Decisions 27 (2009) 02, pp. 93-128

maximizing point of a compound Poisson process on the real line. Estimation of ( a,b ) yields the usual √ n -consistency with …

Persistent link: https://www.econbiz.de/10014621379

Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes

Fujisaki, Masatoshi; Zhang, Dewei - In: Asia-Pacific Financial Markets 16 (2009) 2, pp. 111-139

Persistent link: https://www.econbiz.de/10005016396