Flirting with Models

The Research Library of Newfound Research

Tag: jump detection

Jumpy Models Part II: What we can do with jumps once we find them

If detecting jumps is not hard enough, we have to deal with them afterwards. Models must handle jumps in a way that does not introduce excess whipsaw.

Jumpy Models Part I: Why detecting jumps is important for asset allocation models

Detecting jumps in asset prices is important for robust parameter estimation, especially when estimating volatility.
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