@ARTICLE{Kostrzewski_Maciej_Bayesian_2015,
 author={Kostrzewski, Maciej},
 number={No 1},
 journal={Central European Journal of Economic Modelling and Econometrics},
 pages={43-70},
 howpublished={online},
 year={2015},
 publisher={Oddział PAN w Łodzi},
 abstract={News might trigger jump arrivals in financial time series. The “bad” news and “good” news seem to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double exponential jump-diffusion model is proposed. Theorems stated in the paper enable estimation of the model’s parameters, detection of jumps and analysis of jump frequency. The methodology, founded upon the idea of latent variables, is illustrated with simulated data.},
 type={Artykuły / Articles},
 title={Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes},
 URL={http://www.journals.pan.pl/Content/103717/PDF/mainFile.pdf},
 doi={10.24425/cejeme.2015.119208},
 keywords={double exponential jump diffusion model, Kou model, Bernoulli jump-diffusion model, MCMC methods, latent variables},
}