Abstract:In modern financial economics continuous time-series diffusion
models are more convenient to deal with than discrete time models
when they are used to depict important economic variables such as
stock prices, exchange rates and interest rates. A two-stage
estimation approach is proposed to deal with the continuous-time
models with jumps, in which the initial settings are quite
resilient. This paper presents an example: first, the realized
volatility theory is applied to the jumps and diffusion parameters
of the model; then it uses forward Kolmogorov equation of actual
price distribution at steady state to estimate the drift parameters.
The model relies little on initial settings and optimization
algorithms. The empirical results show that the estimations are
stable and reliable. Hence the model is easier to extend to the
estimation of complex set continuous time series.
Lianqian Yin;Qiuli Gao;Lixia Zheng. A Two-stage Estimation Approach of Continuous-time Series Models with Jumps[J]. , 2014, 11(11): 4013-4018.
Lianqian Yin;Qiuli Gao;Lixia Zheng. A Two-stage Estimation Approach of Continuous-time Series Models with Jumps. , 2014, 11(11): 4013-4018.