Properties of Doubly Stochastic Poisson Process with affine intensity
AbstractThis 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1109.2884.
Date of creation: Sep 2011
Date of revision: Sep 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-22 (All new papers)
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- Basu, Sankarshan & Dassios, Angelos, 2002. "A Cox process with log-normal intensity," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 297-302, October.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
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