Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index

DOI10.1007/s11009-016-9532-5zbMath1390.91339OpenAlexW2563259265MaRDI QIDQ1694509

Ourania Theodosiadou, George Tsaklidis

Publication date: 2 February 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-016-9532-5

zbMATH Keywords

Kalman filterpdf truncationpositive-negative return jumps

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Financial applications of other theories (91G80)

Related Items (1)

A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps

Uses Software

• tmvtnorm

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Semi-Markov chains and hidden semi-Markov models toward applications. Their use in reliability and DNA analysis.
• Information arrival as price jumps
• Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
• Constrained Kalman filtering via density function truncation for turbofan engine health estimation

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