文章基本信息

标题：Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns
本地全文：下载
作者：Tianshun Yan ; Yanyong Zhao ; Shuanghua Luo 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2018
卷号：2018
DOI：10.1155/2018/9549707
出版社：Hindawi Publishing Corporation
摘要：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.