Moreno, Manuel; Serrano, Pedro Jose; Stute, Winfried - Departamento de Economía de la Empresa, Universidad … - 2008
This paper analyzes the Shot-Noise Jump-Diffusion model of Altmann, Schmidt and Stute (2008), which introduces a new situation where the effects of the arrival of rare, shocking information to the financial markets may fade away in the long run. We analyze several economic implications of the...