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Applications for Filtering with Jumps

In: Stochastic Filtering With Applications In Finance

Author

Listed:
  • Ramaprasad Bhar

    (The University of New South Wales, Australia)

Abstract

The 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

Suggested Citation

  • Ramaprasad Bhar, 2010. "Applications for Filtering with Jumps," World Scientific Book Chapters, in: Stochastic Filtering With Applications In Finance, chapter 11, pages 284-319, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814304863_0011
    as

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