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Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns
Joint Authors
Luo, Shuanghua
Zhao, Yanyong
Yan, Tianshun
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-06-13
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
This paper proposes a second-order jump diffusion model to study the jump dynamics of stock market returns via adding a jump term to traditional diffusion model.
We develop an appropriate maximum likelihood approach to estimate model parameters.
A simulation study is conducted to evaluate the performance of the estimation method in finite samples.
Furthermore, we consider a likelihood ratio test to identify the statistically significant presence of jump factor.
The empirical analysis of stock market data from North America, Asia, and Europe is provided for illustration.
American Psychological Association (APA)
Yan, Tianshun& Zhao, Yanyong& Luo, Shuanghua. 2018. Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-8.
https://search.emarefa.net/detail/BIM-1152941
Modern Language Association (MLA)
Yan, Tianshun…[et al.]. Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-8.
https://search.emarefa.net/detail/BIM-1152941
American Medical Association (AMA)
Yan, Tianshun& Zhao, Yanyong& Luo, Shuanghua. Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-8.
https://search.emarefa.net/detail/BIM-1152941
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152941