Comparison of jump-diffusion parameters using passage times estimation

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dc.contributor.authorKhaldi, K.
dc.contributor.authorDjeddour, K.
dc.contributor.authorMeddahi, S.
dc.date.accessioned2015-05-25T12:17:42Z
dc.date.available2015-05-25T12:17:42Z
dc.date.issued2014
dc.description.abstractThe main purposes of this paper are two contributions: (1) it presents a new method, which is the first passage time generalized for all passage times (PT method), in order to estimate the parameters of stochastic jump-diffusion process. (2) It compares in a time series model, share price of gold, the empirical results of the estimation and forecasts obtained with the PT method and those obtained by the moments method applied to the MJD modelen_US
dc.identifier.issn1110757X
dc.identifier.urihttps://dspace.univ-boumerdes.dz123456789/1162
dc.language.isoenen_US
dc.publisherHindawi Publishing Corporationen_US
dc.relation.ispartofseries(2014);pp. 1-5
dc.subjectjump-diffusionen_US
dc.titleComparison of jump-diffusion parameters using passage times estimationen_US
dc.typeArticleen_US

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