Re: [R] [R-SIG-Finance] Bayesian estimation of jump-diffusion processes andself-exciting counting processes

From: Jeffrey Todd Lins <jtl_at_saxobank.com>
Date: Wed, 02 Apr 2008 10:08:18 +0200

Sincerely,

Jeffrey Todd Lins
Executive Director
Quantitative Analysis
Saxo Bank A/S

(Sent from my BlackBerry)

Hi all,

Could anybody give me some pointers to estimation of jump-diffusion and self-exciting processes(or more generally, counting processes with stochastic intensity, such as doubly stochastic processes, Cox processes, Hawkes processes) using the Bayesian approach, esp. using MCMC and BUGS, or more generally, how to estimate a state-space model that contains both diffusion processes and jump or self-exciting processes using Bayesian MCMC and BUGS(both in continuous time and in discrete time). I've seen demonstration in BUGS for simple state-space models, with diffusion processes. But I am having a lot of difficulty finding literature and programs for using BUGS for state-space models involving self-exciting counting processes with stochastic intensities. Please give me some pointers! Thank you very much!

-M



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