Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects

Manuel Moreno, P. Serrano and Winfried Stute

DEE - Working Papers. Business Economics. WB from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Abstract: This paper analyzes the Shot-Noise Jump-Diffusion model of Altmann, Schmidt and Stute (2008), which introduces a new situation where the effects of the arrival of rare, shocking information to the financial markets may fade away in the long run. We analyze several economic implications of the model, providing an analytical expression for the process distribution. We also prove that certain specifications of this model can provide negative serial persistence. Additionally, we find that the degree of serial autocorrelation is related to the arrival and magnitude of abnormal information. Finally, a GMM framework is proposed to estimate the model parameters.

Keywords: Filtered; Poisson; Process; Characteristic; Function; Generalized; Method; of; Moments (search for similar items in EconPapers)
JEL-codes: C10 C15 C22 C52 (search for similar items in EconPapers)
Date: 2008-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Statistical properties and economic implications of jump-diffusion processes with shot-noise effects (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wbrepe:wb084912

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