Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)

Yacine Ait-Sahalia

No 575, Econometric Society 2004 North American Winter Meetings from Econometric Society

Abstract: This paper examines the estimation of parameters of a discretely sampled Markov process whose continuous-time sample paths are generated by a continuous Brownian term and a stochastic jump term, a realistic setting for many financial asset prices. In discretely sampled data, every change in the value of the variable is by nature a discrete jump, yet we wish to estimate jointly from these data the underlying continuous-time parameters driving the Brownian and jump terms. The paper focuses on the effect of the presence of jumps on the estimation of the volatility parameters, and the effect of the presence of the continuous Brownian part on the estimation of the jumps parameters, in the context of maximum-likelihood and method of moments estimators. These effects are studied as a function of the frequency at which the continuous-time process is sampled

Keywords: Jumps; Diffusion; Fisher's Information; Poisson Process; Cauchy Process (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2004-08-11
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.princeton.edu/~yacine/jumps.pdf main text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:nawm04:575

Access Statistics for this paper

More papers in Econometric Society 2004 North American Winter Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().