Applications for Filtering with Jumps

Ramaprasad Bhar
Additional contact information
Ramaprasad Bhar: The University of New South Wales, Australia

Chapter 11 in Stochastic Filtering with Applications in Finance, 2010, pp 284-319 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Background to Electricity Market and PricesA Model for Spot Electricity PricesState Space Model, Kalman Filter and Poisson JumpsData and Empirical Results for Electricity MarketSummarizing Electricity Market ApplicationBackground to Jumps in CDS IndicesCDS Data and Preliminary AnalysisMethodology for Analyzing CDS Jump RisksNormality Test for CDS Index DistributionModel for Individual iTraxx IndicesMultivariate Analysis of Jumps in iTraxx Index with One Latent Common FactorAnalysis of Results from the CDS MarketSummarizing CDS Market Application

Keywords: Kalman Filter; Stochastic Volatility; Unscented Kalman Filter; Extended Kalman Filter; Interest Rate Process; Stochastic Volatility; Inflation Uncertainty; Forward Exchange Rate; Equity Price of Risk; Credit Default Swaps (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814304863_0011 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814304863_0011 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814304863_0011

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().