Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns
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 perfor...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2018-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/9549707 |
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| _version_ | 1832549364327776256 |
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| author | Tianshun Yan Yanyong Zhao Shuanghua Luo |
| author_facet | Tianshun Yan Yanyong Zhao Shuanghua Luo |
| author_sort | Tianshun Yan |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-2ef656659c8c49a19dc64a25167eac74 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-2ef656659c8c49a19dc64a25167eac742025-02-03T06:11:28ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2018-01-01201810.1155/2018/95497079549707Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market ReturnsTianshun Yan0Yanyong Zhao1Shuanghua Luo2School of Mathematics and Statistics, Xi’an Jiaotong University, Xi’an, Shaanxi, ChinaSchool of Science, Nanjing Audit University, Nanjing, Jiangsu, ChinaSchool of Science, Xi’an Polytechnic University, Xi’an, Shaanxi, ChinaThis 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.http://dx.doi.org/10.1155/2018/9549707 |
| spellingShingle | Tianshun Yan Yanyong Zhao Shuanghua Luo Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns Discrete Dynamics in Nature and Society |
| title | Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns |
| title_full | Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns |
| title_fullStr | Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns |
| title_full_unstemmed | Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns |
| title_short | Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns |
| title_sort | estimation for a second order jump diffusion model from discrete observations application to stock market returns |
| url | http://dx.doi.org/10.1155/2018/9549707 |
| work_keys_str_mv | AT tianshunyan estimationforasecondorderjumpdiffusionmodelfromdiscreteobservationsapplicationtostockmarketreturns AT yanyongzhao estimationforasecondorderjumpdiffusionmodelfromdiscreteobservationsapplicationtostockmarketreturns AT shuanghualuo estimationforasecondorderjumpdiffusionmodelfromdiscreteobservationsapplicationtostockmarketreturns |