一种资产定价过程中跳辨识的新方法
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财经研究 2007 年 第 33 卷第 01 期, 页码：46 - 56
摘要
参考文献
摘要
文章主要基于AitSahalia(2002)关于金融数据中跳(Jump)的研究,对跳的性质作进一步的探索并加以推论,同时采用IMSE(InferiorMeanSquaredError)作为分离跳的标准,选择出恰当的(λ,α,Δ)仨,达到辨识金融数据中跳的目的。
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[2]B Eraker·Do stock prices and volatility jump?Reconciling:Evidence fromspot and op-tion prices[J]·Journal of Finance,2004,3:1367~1404·
[3]Bates D.The crash of’87:Was it expected?The evidence fromthe options markets[J]·Journal of Finance1991,(46):350~373·
[4]Bates D.Maxi mumlikelihood esti mation of latent affine processes[R]·working paper,2005·
[5]Ersnt Eberlein·Newinsights into smile,mispricing,and value at risk:The hyperbolic model[J]·Journal of Business1998,71(3):57~78·
[6]Ji m Gatheral,Merrill Lynch·Addingjumps,courant institute of math[R]·Science,Lec-ture3of Fall term2004·
[7]O Hara,Maureen.Liquidity and price discovery[J]·Journal of Finance58,2003(4):1335~1364.
[8]Ole E Barndorff-Nielsen,NSherhard·Power and bipower variation with stochastic vola-tility and jumps[J]·Journal of Financial Econometrics2004,2(1):1~37·
[9]O Hara·Microstructure of market[M]·Library of Congress Cataloging,1994·
[10]Pan J.The jump-risk premia i mplicit in options:Evidence froman integrated ti me-se-ries study[J]·Journal of Financial Economics2002,(63):677~701·
[11]Ray D.Stationary markov processes with continuous paths[J]·Transactions of the A-merican Mathematical Society1956,82(1):46~60·
[12]Ait-Sahalia.Disentangle diffusion fromJumps[J]·JFE,2004,74(2):110~135·
[13]Y Wang·Multi-scalejump and volatility analysis for high-frequencyfinancial data[R].working paper,2005·
[14]S A Michael,WBrandt,F X Diebold.Range-based esti mation of stochastic volatility models[R].Wharton Financial Institute Center Paper,1999.
引用本文
沐年国. 一种资产定价过程中跳辨识的新方法[J]. 财经研究, 2007, 33(1): 46–56.
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