A Note on the Jump-Equilibrium Model

P.P. Huber

British Actuarial Journal, 1998, vol. 4, issue 3, 615-636

Abstract: This paper considers some of the properties of the jump-equilibrium model suggested by Smith (1996). A more detailed description of the model's derivation is provided. The model is represented in a discrete time format and a number of statistics are derived and discussed.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:cup:bracjl:v:4:y:1998:i:03:p:615-636_00

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