Sensitivity analysis of market and stock returns by considering positive and negative jumps
O Theodosiadou, V Polimenis… - The Journal of Risk …, 2016 - emerald.com
Purpose This paper aims to present the results of further investigating the Polimenis (2012)
stochastic model, which aims to decompose the stock return evolution into positive and …
stochastic model, which aims to decompose the stock return evolution into positive and …
Change point detection and estimation of the two-sided jumps of asset returns using a modified Kalman filter
O Theodosiadou, S Skaperas, G Tsaklidis - Risks, 2017 - mdpi.com
In the first part of the paper, the positive and negative jumps of NASDAQ daily (log-) returns
and three of its stocks are estimated based on the methodology presented by Theodosiadou …
and three of its stocks are estimated based on the methodology presented by Theodosiadou …
Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of NASDAQ index
O Theodosiadou, G Tsaklidis - Methodology and Computing in Applied …, 2017 - Springer
The daily asset (log) return is considered to consist of two parts, the positive and negative
jump. These jumps are determined by the arrival of positive and negative news in the …
jump. These jumps are determined by the arrival of positive and negative news in the …
Jointly estimating jump betas
V Polimenis, I Papantonis - The Journal of Risk Finance, 2014 - emerald.com
Purpose–This paper aims to enhance a co-skew-based risk measurement methodology
initially introduced in Polimenis, by extending it for the joint estimation of the jump betas for …
initially introduced in Polimenis, by extending it for the joint estimation of the jump betas for …
[PDF][PDF] The informational loadings of a stock
V Polimenis - J Stock Forex Trad, 2014 - researchgate.net
In this short paper, I selectively review some recent developments related to the idea that
jumps in stock prices incorporate the most valuable information, and thus the quantification …
jumps in stock prices incorporate the most valuable information, and thus the quantification …
A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps
O Theodosiadou, V Polimenis… - Journal of Applied …, 2019 - Taylor & Francis
We introduce a new methodology for estimating the parameters of a two-sided jump model,
which aims at decomposing the daily stock return evolution into (unobservable) positive and …
which aims at decomposing the daily stock return evolution into (unobservable) positive and …