Estimation of Occurrence of Jumps in Time Series Models Including Jump Diffusion Processes and Their Applications to Optimal Portfolio Formations - Collections

＜departmental bulletin paper＞
Estimation of Occurrence of Jumps in Time Series Models Including Jump Diffusion Processes and Their Applications to Optimal Portfolio Formations

Creator	Author PID 30124134 Creator Name Tokinaga, Shozo 時永, 祥三トキナガ, ショウゾウ Affiliation Affiliation Name 九州大学 : 名誉教授 Kyushu University : Professor Emeritus
Creator	Author PID 70368968 Creator Name Tan, Kangrong 譚, 康融タン, コウユウ Affiliation Affiliation Name Graduate School of Comparative Studies of International Cultures and Societies, Kurume University : Professor 久留米大学 : 教授
Language	English
Publisher	Society of Political Economy, Kyushu University
Publisher	九州大学経済学会
Date	2022-03-30
Source Title	Keizaigaku=Kenkyu (Journal of Political Economy)
Vol	88
Issue	5/6
First Page	33
Last Page	45
Publication Type	Version of Record
Access Rights	open access
JaLC DOI	https://doi.org/10.15017/4774252
Table of Contents	1 Introduction 2 Modeling of time series generation including jumps 3 Estimation of occurrence of jumps using the fractal forecast 4 Description of optimal investments 5 Applications 6 Conclusion

File	FileType	Size	Views	Description
880506_p033	pdf	1.37 MB	202

PISSN	0022-975X
NCID	AN00070058
Record ID	4774252
Peer-Reviewed	Refereed
Funding Information	Funder Name 日本学術振興会 Japan Society for the Promotion of Science Award Number 18K04626 Award Title 非線形確率システムにおける状態変化・構造変化の検出及びそのリスク管理
Created Date	2022.04.12
Modified Date	2022.04.14