CRC 649/2: Inference for Jump Models and Nonlinear Inverse Problems (TP C 12)

In this project we focus on the effects that jumps and nonlinearities have on the inference in and calibration of economic models. Currently, standard continuous-time dynamical models are extended to include random jumps which represent shocks to the economy as a whole or to some assets in financial markets. Statistical tools to adjust these jumps with models to empirical data are currently under development. The main interest will be in the distribution of the number and of the size of jumps.