• No results found

Jump Intensity

Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics

Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics

... conditional jump intensity of stock market ...such jump component, shedding more light on the sources of persistence in the conditional second moment of market re- turns, and providing a criterion to ...

46

Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options

Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options

... and jump intensity have different impact on the distribution of excess stock ...or jump intensity, the higher the values of the mean and standard deviation of excess stock ...or jump ...

50

A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics

A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics

... The estimates of the elasticity parameters appear to be highly significant suggesting that constant specifications for the vovol and the jump intensity are not supported empirically. In particular, we are ...

53

The Jump Dynamics of the Industry Specific Nominal Effective Exchange Rate of RMB and the Impact of Major International Currencies on It—An Empirical Study Based on the ARJI Model

The Jump Dynamics of the Industry Specific Nominal Effective Exchange Rate of RMB and the Impact of Major International Currencies on It—An Empirical Study Based on the ARJI Model

... Autoregressive Jump Intensity (ARJI) model with time-varying jumps is used to measure the daily exchange rate volatility and jump intensity of 13 Chinese manufacturing segments from January 1, ...

34

The Effectiveness of the ECB Announcement Channel

The Effectiveness of the ECB Announcement Channel

... lowest jump intensity corresponding to the days on which none of the effects occur leads to the conclusion that when the ECB initially started to implement the single monetary policy, it faced a whole ...

17

Price Jumps on European Stock Markets

Price Jumps on European Stock Markets

... the jump intensity on the Prague market with respect to other markets detected by Method 1 (Table 3) disappeared when Method 2 was ...higher intensity of price jumps than the rest of both developed ...

32

Simulated likelihood inference for stochastic volatility models using continuous particle filtering

Simulated likelihood inference for stochastic volatility models using continuous particle filtering

... This paper has attempted to provide a unified particle filter-based methodology in order to conduct likelihood-based inference on the unknown parameters of discrete-time SV models incorporating both a leverage effect and ...

27

High Frequency Trading and Market Stability* Jonathan Brogaard. Thibaut Moyaert. Ryan Riordan. First Draft: October Current Draft May 2014

High Frequency Trading and Market Stability* Jonathan Brogaard. Thibaut Moyaert. Ryan Riordan. First Draft: October Current Draft May 2014

... to jump and significantly higher during the price jump) is another driver of permanent jump ...large jump size. HFT net trading activity shows that the size of permanent jump is larger ...

37

Stock Volatility Modelling with Augmented GARCH Model with Jumps

Stock Volatility Modelling with Augmented GARCH Model with Jumps

... the intensity level of various news agencies is so high (for example, Thomson Reuters has more than 4000 messages per day) that the trader is unable on its own to handle this information ...

9

Characteristics of hydraulic jump on corrugated beds

Characteristics of hydraulic jump on corrugated beds

... hydraulic jump has been experimentally ...hydraulic jump on corrugated beds by varying the roughness intensity by 50%, 33%, 25% and 20% respectively and by keeping the roughness intensity same ...

8

Harnack Inequality for Some Classes of Markov Processes

Harnack Inequality for Some Classes of Markov Processes

... They studied a jump process whose jump kernel is symmetric and comparable to the jump kernel of the rotation- ally invariant α -stable process and proved the Harnack inequality for bound[r] ...

28

Compensators and diffusion approximation of point processes and applications

Compensators and diffusion approximation of point processes and applications

... ied by Davis [26]) and the processes incorporate a feedback (contagion) mechanism within the system. The BDCP covers two distinct important classes of point pro- cesses. The first class consists of shot-noise processes ...

153

A Modified Stilling Basin with Flow Guide Pipes to Improve Hydraulic Jump Parameters

A Modified Stilling Basin with Flow Guide Pipes to Improve Hydraulic Jump Parameters

... The direct effect of the hydraulic jump is presented on the movable bed downstream the hydraulic structure. The scour depth and the length can be considered as a direct indicator to the efficiency of the ...

8

Effect of Ramadan intermittent fasting on selective fitness profile parameters in young untrained Muslim men

Effect of Ramadan intermittent fasting on selective fitness profile parameters in young untrained Muslim men

... This is the first time that the effects of Ramadan intermittent fasting (RIF) on fitness profile para- meters have been explored in an untrained popula- tion, while the earlier studies were conducted in different ...

7

Dynamic hedging of portfolio credit derivatives

Dynamic hedging of portfolio credit derivatives

... affine jump-diffusion does not calibrate market data as well as the top-down ...affine jump-diffusion framework, so that the poor calibration to the index will not affect our analysis ...

29

The Influence of Low Intensity-High Intensity Plyometric Training and Hand-Eye Coordination on Jump Shoot Ability in Basketball Players of Bhinneka Solo Club: Randomized Control Trial

The Influence of Low Intensity-High Intensity Plyometric Training and Hand-Eye Coordination on Jump Shoot Ability in Basketball Players of Bhinneka Solo Club: Randomized Control Trial

... and jump shoot ability data with a jump shoot test basketball (Speed Spot Shooting ...low intensity with splint squat jump and high intensity with double leg vertical power jump ...

9

Professional Judgement and Decision Making in Sport Coaching: To Jump Or Not To Jump

Professional Judgement and Decision Making in Sport Coaching: To Jump Or Not To Jump

... Interestingly, when pressured by the manipulations and placed in a position of uncertainty by suggesting that their initial diagnoses/plans were not working or even incorrect, participants spontaneously assumed (i.e. ...

7

Pure-jump semimartingales

Pure-jump semimartingales

... Abstract. A taxonomic hierarchy of pure-jump semimartingales is introduced. This hierarchy contains, in particular, the class of sigma-locally finite variation pure-jump processes. The members of this ...

20

A correction equation for jump height measured using the just jump system

A correction equation for jump height measured using the just jump system

... Figure 1: Relationship between vertical jump height values derived from the Just Jump system and the force platform for pooled data taken from the six n = 108 jump trials where CJH = cri[r] ...

10

CBL Corporate Basketball League Maç Đstatistik Tablosu

CBL Corporate Basketball League Maç Đstatistik Tablosu

... Bcakcoglu 2PtsFG (Jump shot) missed Team Def. Meral 3PtsFG (Jump shot) missed Team Def[r] ...

13

Show all 10000 documents...

Related subjects