Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method

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dc.contributor.author Yu, Jun en
dc.date.accessioned 2006-11-30T20:53:30Z en
dc.date.available 2006-11-30T20:53:30Z en
dc.date.issued 1999 en
dc.identifier.citation Department of Economics Working Paper Series 200 en
dc.identifier.uri http://hdl.handle.net/2292/168 en
dc.description.abstract This paper proposes a new econometric methodology for the estimation of diffusion models that include a jump component. The jump component's arrival time is endogenously determined, reflecting past volatility in the data and deviations from economic fundamentals. Although the likelihood method does not have closed form for this model, we show that the characteristic function can be derived analytically and hence developed an empirical characteristic function method to estimate the system parameters. This procedure has the same asymptotic efficiency as maximum likelihood, and is thus a desirable method to use when the likelihood function is unknown. A Monte Carlo study shows that the empirical characteristic function method outperforms the GMM procedure for the model. An application is considered for S&P 500 daily returns. en
dc.format.extent application/pdf en
dc.format.mimetype text en
dc.language.iso en en
dc.publisher ResearchSpace@Auckland en
dc.relation.ispartofseries Department of Economics Working Paper Series (1997-2006) en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. en
dc.rights.uri https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm en
dc.subject.other Empirical Characteristic Function en
dc.subject.other Economics en
dc.title Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method en
dc.type Working Paper en
dc.rights.holder Copyright: the author en
dc.rights.accessrights http://purl.org/eprint/accessRights/OpenAccess en
pubs.org-id Economics en


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