Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index
type: Item
instance of: scholarly article
title: Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index
zbMATH Open document ID: 1390.91339
author: Ourania Theodosiadou
author: G. Tsaklidis
published in: Methodology and Computing in Applied Probability
publication date: 2018-02-02T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 93E11
zbMATH DE Number: 6833612
zbMATH Keywords: positive-negative return jumps
zbMATH Keywords: Kalman filter
zbMATH Keywords: pdf truncation
describes a project that uses: tmvtnorm
MaRDI profile type: Publication
full work available at URL: s11009-016-9532-5
OpenAlex ID: W2563259265
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DOI: 10.1007/S11009-016-9532-5
description: scientific article; zbMATH DE number 6833612