We are comparing two approaches for stochastic volatility and jumps estimation in the
EUR/USD time series-the non-parametric power-variation approach using high-frequency …

In this research we economically explain the observed shape of financial market
distributions as this question has still not been fully answered. We suggest the explanation …

Directional forecasting of a future market price development of liquid investment instruments
is the focus of interest of investment companies, individual investors, banks and other …

In this financial engineering research we evaluate if observed non normalities in the market
price distributions are caused mainly by a volatility clustering or also by another …

The purpose of this study is to suggest a complex model of market price development for
liquid assets, which is able to simulate all of the main features particular to the real price …

In this financial engineering study we suggest a new realistic economic explanation of the
price volatility clustering within worldwide financial markets. The suggested clustering …

The study analyses the self-exciting (clustering) and cross-exciting (contagion) effects in the
13 year long time series of 4 major currency exchange rates, namely: EUR/USD, GBP/USD …

The regulatory market risk metric-Value at Risk-has remained virtually unchanged since its
introduction by JP Morgan in 1996. Many prominent examples of market risk …

Methodology is presented of how to apply Stochastic-Volatility Jump-Diffusion (SVJD)
models with self-exciting jumps to the intraday asset price returns (specifically to the …

In this contribution we study calibration methods of interest rate models. First, we assume
that model parameters are constant and can be estimated by the maximum likelihood …