Estimating Stochastic Cusp Model Using Transition Density

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F11%3A10099508" target="_blank" >RIV/00216208:11320/11:10099508 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Estimating Stochastic Cusp Model Using Transition Density

Original language description

Paper focuses on an econometric model known as the cusp within standard catastrophe theory. This model allows discontinuous change in a dependent variable for a small continuous change in parameters. This model is given by stochastic di erential equationwith cubic drift. The closed-form solution of density for this process is known only in the stationary case and this density belongs to the class of generalized exponential distributions, which allows for skewness, di erent tail shapes and multiple equilibria. The transition density is approximated by the finite difference method and parameters are estimated using the maximum likelihood principle. An empirical example deals with the crash known as Black Monday, where parameters of the drift are drivenby market fundamentals.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2011

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Bulletin of the Czech Econometric Society

ISSN

1212-074X

e-ISSN

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Volume of the periodical

18

Issue of the periodical within the volume

28

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

12

Pages from-to

84-95

UT code for WoS article

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EID of the result in the Scopus database

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