About: Estimating Stochastic Cusp Model Using Transition Density

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Stochastic Cusp model allows discontinuous change in an explained variable for a small continuous change in parameters. The closed-form solution of density for this process is known only in the stationary case and this density belongs to the class of generalized exponential distributions, which allows for skewness, different tail shapes and multiple equilibria. The transition density has to be approximated and for that purpose, the finite difference method is employed and then parameters are estimated using the maximum likelihood principle. The finite difference method is often used for approximating partial differential equations, however the cubic drift is not handled sufficiently in current software, therefore own computational method is proposed and used. An empirical example deals with the crash known as Black Monday, where parameters of the drift are driven by market fundamentals. Stochastic Cusp model allows discontinuous change in an explained variable for a small continuous change in parameters. The closed-form solution of density for this process is known only in the stationary case and this density belongs to the class of generalized exponential distributions, which allows for skewness, different tail shapes and multiple equilibria. The transition density has to be approximated and for that purpose, the finite difference method is employed and then parameters are estimated using the maximum likelihood principle. The finite difference method is often used for approximating partial differential equations, however the cubic drift is not handled sufficiently in current software, therefore own computational method is proposed and used. An empirical example deals with the crash known as Black Monday, where parameters of the drift are driven by market fundamentals. (en)
Title	Estimating Stochastic Cusp Model Using Transition Density Estimating Stochastic Cusp Model Using Transition Density (en)
skos:prefLabel	Estimating Stochastic Cusp Model Using Transition Density Estimating Stochastic Cusp Model Using Transition Density (en)
skos:notation	RIV/00216208:11320/10:10049952!RIV11-MSM-11320___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Voříšek, Jan
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	257539
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/10:10049952
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Stochastic catastrophe theory, cusp, transition density, finite difference (en)
http://linked.open.../riv/klicoveSlovo	cusp Stochastic catastrophe theory finite difference transition density
http://linked.open...ontrolniKodProRIV	[12FB7E98DCD2]
http://linked.open...v/mistoKonaniAkce	České Budějovice
http://linked.open...i/riv/mistoVydani	České Budějovice
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor	BA
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Voříšek, Jan
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2010-09-08 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Jihočeská Univerzita
https://schema.org/isbn	978-80-7394-218-2
http://localhost/t...ganizacniJednotka	11320

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