TY - JOUR N2 - 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. L1 - http://www.journals.pan.pl/Content/103717/PDF-MASTER/mainFile.pdf L2 - http://www.journals.pan.pl/Content/103717 PY - 2015 IS - No 1 EP - 70 DO - 10.24425/cejeme.2015.119208 KW - double exponential jump diffusion model KW - Kou model KW - Bernoulli jump-diffusion model KW - MCMC methods KW - latent variables A1 - Kostrzewski, Maciej PB - Oddział PAN w Łodzi DA - 31.03.2015 T1 - Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes SP - 43 UR - http://www.journals.pan.pl/dlibra/publication/edition/103717 T2 - Central European Journal of Economic Modelling and Econometrics ER -