IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1109.2884.html
   My bibliography  Save this paper

Properties of Doubly Stochastic Poisson Process with affine intensity

Author

Listed:
  • Alan De Genaro Dario
  • Adilson Simonis

Abstract

This 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.

Suggested Citation

  • Alan De Genaro Dario & Adilson Simonis, 2011. "Properties of Doubly Stochastic Poisson Process with affine intensity," Papers 1109.2884, arXiv.org, revised Sep 2011.
  • Handle: RePEc:arx:papers:1109.2884
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1109.2884
    File Function: Latest version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Basu, Sankarshan & Dassios, Angelos, 2002. "A Cox process with log-normal intensity," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 297-302, October.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    Full references (including those not matched with items on IDEAS)

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1109.2884. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.