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A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns

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  • Beckers, Stan

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  • Beckers, Stan, 1981. "A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(01), pages 127-140, March.
  • Handle: RePEc:cup:jfinqa:v:16:y:1981:i:01:p:127-140_00
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    1. Kóbor, Ádám, 2000. "A feltétel nélküli normalitás egyszerű alternatívái a kockáztatott érték számításában
      [The simple alternatives of unconditional normality in the calculation of value at risk]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 878-898.
    2. Jiang, George J., 1998. "Jump-diffusion model of exchange rate dynamics : estimation via indirect inference," Research Report 98A40, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    3. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
    4. Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998. "Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-243, April.
    5. Noureddine Krichene, 2006. "Recent Dynamics of Crude Oil Prices," IMF Working Papers 06/299, International Monetary Fund.
    6. Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei, 2013. "A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3204-3217.
    7. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    8. José Azevedo-Pereira & Gualter Couto & Cláudia Nunes, 2010. "Optimal timing of relocation," International Journal of Managerial Finance, Emerald Group Publishing, vol. 6(2), pages 143-163, April.
    9. Ait-Sahalia, Yacine, 2004. "Disentangling diffusion from jumps," Journal of Financial Economics, Elsevier, vol. 74(3), pages 487-528, December.
    10. Barbedo, Claudio Henrique da Silveira & Lemgruber, Eduardo Facó, 2009. "A down-and-out exchange option model with jumps to evaluate firms' default probabilities in Brazil," Emerging Markets Review, Elsevier, vol. 10(3), pages 179-190, September.
    11. Lin, Shih-Kuei & Peng, Jin-Lung & Chao, Wei-Hsiung & Wu, An-Chi, 2016. "The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 217-235.
    12. repec:dgr:rugsom:98a40 is not listed on IDEAS
    13. Michael S. Johannes & Nicholas G. Polson & Jonathan R. Stroud, 2009. "Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2559-2599, July.
    14. Yacine Ait-Sahalia, 2003. "Disentangling Volatility from Jumps," NBER Working Papers 9915, National Bureau of Economic Research, Inc.
    15. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    16. J. Benson Durham, 2005. "Jump-diffusion processes and affine term structure models: additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates," Finance and Economics Discussion Series 2005-53, Board of Governors of the Federal Reserve System (U.S.).
    17. Hans Dillen & Bo Stoltz, 1999. "The distribution of stock market returns and the market model," Finnish Economic Papers, Finnish Economic Association, vol. 12(1), pages 41-56, Spring.
    18. Peter Fortune, 1999. "Are stock returns different over weekends? a jump diffusion analysis of the "weekend effect"," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-19.

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