Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns (Q1727323)

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scientific article; zbMATH DE number 7026733
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    Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
    scientific article; zbMATH DE number 7026733

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      Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns (English)
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      20 February 2019
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      Summary: 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.
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