Full Bayesian Analysis for a Class of Jump-Diffusion Models

DOI10.1080/03610920802395694zbMath1167.62454arXiv0708.4131OpenAlexW2022270942WikidataQ105583975 ScholiaQ105583975MaRDI QIDQ5321902

Soledad Torres, Laura L.Ramos

Publication date: 16 July 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.4131

zbMATH Keywords

jump-diffusion processfull Bayesian significance test

Mathematics Subject Classification ID

Bayesian inference (62F15) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (4)

Bayesian inference on the memory parameter for gamma-modulated regression models ⋮ `Purposely misspecified' posterior inference on the volatility of a jump diffusion process ⋮ Full Bayesian Analysis for a Model of Tail Dependence ⋮ The \(e\)-value: a fully Bayesian significance measure for precise statistical hypotheses and its research program

Cites Work

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• On the Bayesianity of Pereira-Stern tests
• Anticipating Catastrophes through Extreme Value Modelling
• Option pricing when underlying stock returns are discontinuous
• The wavelet identification for jump points of derivative in regression model

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