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Alessandro Pollastri
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Scholarly Papers (1)
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A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
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A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
SAFE Working Paper No. 372
Number of pages: 55
Posted: 20 Mar 2009
Last Revised: 15 Dec 2022
Alessandro Pollastri,
Paulo Rodrigues
,
Christian Schlag
and
Norman Seeger
affiliation not provided to SSRN
, Maastricht University - Department of Finance, Goethe University Frankfurt and VU Amsterdam - School of Business and Economics
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Abstract:
Jump-diffusion models; individual stocks; Markov Chain Monte Carlo
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