Estimating Stochastic Cusp Model Using Transition Density

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Estimating Stochastic Cusp Model Using Transition Density

Popis výsledku v původním jazyce

Stochastic Cusp model allows discontinuous change in an explained variable for a small continuous change in parameters. 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, different tail shapes and multiple equilibria. The transition density has to be approximated and for that purpose, the finite difference method is employed and then parameters are estimated using the maximum likelihood principle. The finite difference method is often used for approximating partial differential equations, however the cubic drift is not handled sufficiently in current software, therefore own computational method is proposed and used. An empirical example deals with the crash known as Black Monday, where parameters of the drift are driven by market fundamentals.

Název v anglickém jazyce

Estimating Stochastic Cusp Model Using Transition Density

Popis výsledku anglicky

Stochastic Cusp model allows discontinuous change in an explained variable for a small continuous change in parameters. 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, different tail shapes and multiple equilibria. The transition density has to be approximated and for that purpose, the finite difference method is employed and then parameters are estimated using the maximum likelihood principle. The finite difference method is often used for approximating partial differential equations, however the cubic drift is not handled sufficiently in current software, therefore own computational method is proposed and used. An empirical example deals with the crash known as Black Monday, where parameters of the drift are driven by market fundamentals.

Druh

D - Stať ve sborníku

CEP obor

BA - Obecná matematika

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Methods in Economics

ISBN

978-80-7394-218-2

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

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Název nakladatele

Jihočeská Univerzita

Místo vydání

České Budějovice

Místo konání akce

České Budějovice

Datum konání akce

8. 9. 2010

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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