Estimating Stochastic Cusp Model Using Transition Density

Kód výsledku v 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>

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

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.

Název v anglickém jazyce

Estimating Stochastic Cusp Model Using Transition Density

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

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

2011

Kód důvěrnosti údajů

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

Název periodika

Bulletin of the Czech Econometric Society

ISSN

1212-074X

e-ISSN

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Svazek periodika

18

Číslo periodika v rámci svazku

28

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

12

Strana od-do

84-95

Kód UT WoS článku

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EID výsledku v databázi Scopus

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