Tham khảo tài liệu 'forecasting, structural time series models and the kalman filter by a. c. harvey_9', tài chính - ngân hàng, tài chính doanh nghiệp phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Applications for Filtering with Jumps 285 In the second application the focus is on Credit Default Swaps CDS index as well sub indices with a view to diversify jump risks. Previous research on credit risk mainly focuses on the prediction of default probability and most of these are based upon bond market analyses. The rapid-development of the CDS market makes research on credit risk using information from this market more important and attractive. Also over the last few years analysis of dynamic behaviour of credit risk has become important among academics practitioners and regulators. The key question being investigated here is non diversifiable jump risk in iTraxx sector indices based on a multivariate framework that explicitly admits discrete common jumps for an index and its components. Our empirical research shows that both the sector iTraxx indices and the iTraxx Non-Financials which acts as an index for the sector experience jumps during sample period. This means that the jump risks in iTraxx sector index are not diversifiable. Such a result warrants further investigation on credit risk for example in pricing and prediction. Background to Electricity Market and Prices At the outset to appreciate the background of this project we quote Geman and Roncoroni 2006 Over the last 10 years major countries have been experiencing deregulation in generation and supply activities. One of the important consequences of this restructuring is that prices now determined according to the fundamental rule of supply and demand there is a market pooliin which bids are placed by generators to sell electricity for the next day are compared to purchase orders. Prior to that the regulators used to set the price based on the cost of generation transmission and distribution and the price to the consumer was essentially fixed for long period of time. A large fraction of the literature on electricity today belongs to the economics of deregulated electricity market from the .
