spectral GMM of Chacko & Viceira (2002)

newton · April 17th, 2003, 1:08 pm

allu,.Best regards,newton

allu · April 22nd, 2003, 6:58 am

newton, Indeed the way to proceed towards a regime switching model with stochastic jumps seems possible with the work of Chacko & Viceira. Our reason to start with a jump diffusion model was to arrive finally at the stochastic regime jump.>> I also think I can get around the problem you had with minimization.Well, as you can imagine I am extremely interested! Can you enlighten me a bit more? Do you have a related article or code?greetingsallu

reza · April 22nd, 2003, 11:30 am

hi newton,I believe you had mentioned once the work by Srivastava on estimation of Jump Diffusion parameters.I think he uses a random "time" simulationSo he does a jump of size J for all paths at times t*t* = t + (1/lambda) Ln(1/U)with U uniform [0,1] RV and lambda the Poisson intensityI am doing a Jump at each time-step but only in 1-exp(-lambda dt) percent of pathsdo you think these approaches are equivalent?

newton · April 22nd, 2003, 2:23 pm

Reza,Regards,newton