Properties of Doubly Stochastic Poisson Process with affine intensity

Alan De Genaro Dario and Adilson Simonis

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Abstract: This paper discusses properties of a Doubly Stochastic Poisson Process (DSPP) where the intensity process belongs to a class of affine diffusions. For any intensity process from this class we derive an analytical expression for probability distribution functions of the corresponding DSPP. A specification of our results is provided in a particular case where the intensity is given by one-dimensional Feller process and its parameters are estimated by Kalman filtering for high frequency transaction data.

Date: 2011-09, Revised 2011-09
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1109.2884

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