Matches in SemOpenAlex for { <https://semopenalex.org/work/W1575989901> ?p ?o ?g. }
Showing items 1 to 96 of
96
with 100 items per page.
- W1575989901 abstract "This paper considers a model where there is a single state variable that drives the state of the world and therefore the asset price behavior. This variable evolves according to a multi-state continuous time Markov chain, as the continuous time counterpart of (Hamilton 1989) model. It derives the moment generating function of the asset log-price difference under very general assumptions about its stochastic process, incorporating volatility and jumps that can follow virtually any distribution, both of them being driven by the same state variable. For an illustration, the extreme value distribution is used as the jump distribution. The paper shows how GMM and conditional ML estimators can be constructed, generalizing Hamilton's filter for the continuous time case. The risk neutral process is constructed and contingent claim prices under this specification are derived, in the lines of (Bakshi and Madan 2000). Finally, an empirical example is set up, to illustrate the potential benefits of the model." @default.
- W1575989901 created "2016-06-24" @default.
- W1575989901 creator A5037969712 @default.
- W1575989901 date "2000-01-01" @default.
- W1575989901 modified "2023-09-27" @default.
- W1575989901 title "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains" @default.
- W1575989901 cites W1489872560 @default.
- W1575989901 cites W1601298850 @default.
- W1575989901 cites W2025006397 @default.
- W1575989901 cites W2031123121 @default.
- W1575989901 cites W2047663035 @default.
- W1575989901 cites W2052611462 @default.
- W1575989901 cites W2062898928 @default.
- W1575989901 cites W2064978316 @default.
- W1575989901 cites W2074812030 @default.
- W1575989901 cites W2077791698 @default.
- W1575989901 cites W2107710971 @default.
- W1575989901 cites W2109646609 @default.
- W1575989901 cites W2122063647 @default.
- W1575989901 cites W2125828765 @default.
- W1575989901 cites W2148080284 @default.
- W1575989901 cites W2179356764 @default.
- W1575989901 cites W2751862591 @default.
- W1575989901 cites W2801179766 @default.
- W1575989901 cites W3121174621 @default.
- W1575989901 cites W3122816220 @default.
- W1575989901 cites W3124458706 @default.
- W1575989901 cites W3125670819 @default.
- W1575989901 cites W2087061940 @default.
- W1575989901 doi "https://doi.org/10.2139/ssrn.254408" @default.
- W1575989901 hasPublicationYear "2000" @default.
- W1575989901 type Work @default.
- W1575989901 sameAs 1575989901 @default.
- W1575989901 citedByCount "2" @default.
- W1575989901 countsByYear W15759899012020 @default.
- W1575989901 crossrefType "journal-article" @default.
- W1575989901 hasAuthorship W1575989901A5037969712 @default.
- W1575989901 hasBestOaLocation W15759899012 @default.
- W1575989901 hasConcept C105795698 @default.
- W1575989901 hasConcept C121332964 @default.
- W1575989901 hasConcept C129537906 @default.
- W1575989901 hasConcept C134306372 @default.
- W1575989901 hasConcept C144237770 @default.
- W1575989901 hasConcept C149782125 @default.
- W1575989901 hasConcept C162324750 @default.
- W1575989901 hasConcept C182365436 @default.
- W1575989901 hasConcept C185429906 @default.
- W1575989901 hasConcept C28826006 @default.
- W1575989901 hasConcept C33923547 @default.
- W1575989901 hasConcept C85393063 @default.
- W1575989901 hasConcept C91602232 @default.
- W1575989901 hasConcept C97355855 @default.
- W1575989901 hasConcept C98763669 @default.
- W1575989901 hasConceptScore W1575989901C105795698 @default.
- W1575989901 hasConceptScore W1575989901C121332964 @default.
- W1575989901 hasConceptScore W1575989901C129537906 @default.
- W1575989901 hasConceptScore W1575989901C134306372 @default.
- W1575989901 hasConceptScore W1575989901C144237770 @default.
- W1575989901 hasConceptScore W1575989901C149782125 @default.
- W1575989901 hasConceptScore W1575989901C162324750 @default.
- W1575989901 hasConceptScore W1575989901C182365436 @default.
- W1575989901 hasConceptScore W1575989901C185429906 @default.
- W1575989901 hasConceptScore W1575989901C28826006 @default.
- W1575989901 hasConceptScore W1575989901C33923547 @default.
- W1575989901 hasConceptScore W1575989901C85393063 @default.
- W1575989901 hasConceptScore W1575989901C91602232 @default.
- W1575989901 hasConceptScore W1575989901C97355855 @default.
- W1575989901 hasConceptScore W1575989901C98763669 @default.
- W1575989901 hasLocation W15759899011 @default.
- W1575989901 hasLocation W15759899012 @default.
- W1575989901 hasOpenAccess W1575989901 @default.
- W1575989901 hasPrimaryLocation W15759899011 @default.
- W1575989901 hasRelatedWork W145904621 @default.
- W1575989901 hasRelatedWork W1529828837 @default.
- W1575989901 hasRelatedWork W1542238497 @default.
- W1575989901 hasRelatedWork W1578552159 @default.
- W1575989901 hasRelatedWork W2086567531 @default.
- W1575989901 hasRelatedWork W2108433302 @default.
- W1575989901 hasRelatedWork W2156765756 @default.
- W1575989901 hasRelatedWork W2157412733 @default.
- W1575989901 hasRelatedWork W2171788642 @default.
- W1575989901 hasRelatedWork W2180575390 @default.
- W1575989901 hasRelatedWork W2185802468 @default.
- W1575989901 hasRelatedWork W2555605061 @default.
- W1575989901 hasRelatedWork W2605386093 @default.
- W1575989901 hasRelatedWork W2611942370 @default.
- W1575989901 hasRelatedWork W2940049593 @default.
- W1575989901 hasRelatedWork W2963423626 @default.
- W1575989901 hasRelatedWork W3121635448 @default.
- W1575989901 hasRelatedWork W3124935548 @default.
- W1575989901 hasRelatedWork W3124989541 @default.
- W1575989901 hasRelatedWork W3122773585 @default.
- W1575989901 isParatext "false" @default.
- W1575989901 isRetracted "false" @default.
- W1575989901 magId "1575989901" @default.
- W1575989901 workType "article" @default.