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pro vyhledávání: '"Damian, Camilla"'
In this paper we study parameter estimation via the Expectation Maximization (EM) algorithm for a continuous-time hidden Markov model with diffusion and point process observation. Inference problems of this type arise for instance in credit risk mode
Externí odkaz:
http://epub.wu.ac.at/6952/1/damian%2Deksi%2Dfrey%2Dstatistics%2Dand%2Drisk%2Dmodelling.pdf
Autor:
Damian, Camilla, Frey, Rüdiger
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its current level
Externí odkaz:
http://arxiv.org/abs/2302.12612
In this paper, we consider a discrete-time stochastic SIR model, where the transmission rate and the true number of infectious individuals are random and unobservable. An advantage of this model is that it permits us to account for random fluctuation
Externí odkaz:
http://arxiv.org/abs/2212.13443
Several proposals for the reform of the euro area advocate the creation of a market in synthetic securities backed by portfolios of sovereign bonds. Most debated are the so-called European Safe Bonds or ESBies proposed by Brunnermeier, Langfield, Pag
Externí odkaz:
http://arxiv.org/abs/2001.11249
Akademický článek
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In this paper, we develop a discrete time stochastic model under partial information to explain the evolution of Covid-19 pandemic. Our model is a modification of the well-known SIR model for epidemics, which accounts for some peculiar features of Co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0547490c4b25d159b3af21a8045f94b0
http://arxiv.org/abs/2212.13443
http://arxiv.org/abs/2212.13443