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Phénomènes financiers et mélange de lois : Une nouvelle méthode d’estimation des paramètres

  • Chilarescu, Constantin
  • Viasu, Iana Luciana

The main aim of this paper is to examine the qualities of the mixed diffusion-jump process whose parameters are random variables. The hypothesis of a Wiener geometric process applied to exchange rate has become doubtful at the beginning of the nineties, fact determined by a high leptokurtosis of the empirical distributions. The alternative of another distribution was studied in several articles. The mathematical model proposed in this paper has as fundamental hypothesis the fact that the distribution of the continuous part of the changes in the logarithms of exchange rate is a mixture of normals whose parameters are random variables.

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File URL: https://mpra.ub.uni-muenchen.de/33909/2/MPRA_paper_33909.pdf
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File URL: https://mpra.ub.uni-muenchen.de/33970/1/MPRA_paper_33970.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 33909.

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Date of creation: 06 Oct 2011
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Handle: RePEc:pra:mprapa:33909
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  1. Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
  2. Jarrow, Robert A & Rosenfeld, Eric R, 1984. "Jump Risks and the Intertemporal Capital Asset Pricing Model," The Journal of Business, University of Chicago Press, vol. 57(3), pages 337-51, July.
  3. Boothe, Paul & Glassman, Debra, 1987. "The statistical distribution of exchange rates: Empirical evidence and economic implications," Journal of International Economics, Elsevier, vol. 22(3-4), pages 297-319, May.
  4. Kim, Myung-Jig & Oh, Young-Ho & Brooks, Robert, 1994. "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 609-631, December.
  5. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
  6. Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(1-2), pages 47-66, August.
  7. Stefano Herzel, 2000. "Option pricing with stochastic volatility models," Decisions in Economics and Finance, Springer, vol. 23(2), pages 75-99.
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