Detecting jumps from Lévy jump diffusion processes☆
نویسندگان
چکیده
منابع مشابه
Detecting Jumps from Lévy Jump Diffusion Processes
Recent asset-pricing models incorporate jump risk through Lévy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Lévy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics. Empirical evidence of both small and big jumps based on the...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2010
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2009.12.009