Properties of Doubly Stochastic Poisson Process with affine intensity
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.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Basu, Sankarshan & Dassios, Angelos, 2002. "A Cox process with log-normal intensity," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 297-302, October.
- 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..
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)
If references are entirely missing, you can add them using this form.