| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9915 |
| 来源ID | Working Paper 9915 |
| Disentangling Volatility from Jumps | |
| Yacine Ait-Sahalia | |
| 发表日期 | 2003-08-25 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to distinguish one from the other. I find that, surprisingly, it is possible to perfectly disentangle Brownian noise from jumps. This is true even if, unlike the usual Poisson jumps, the jump process exhibits an infinite number of small jumps in any finite time interval, which ought to be harder to distinguish from Brownian noise, itself made up of many small moves. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w9915 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567541 |
| 推荐引用方式 GB/T 7714 | Yacine Ait-Sahalia. Disentangling Volatility from Jumps. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9915.pdf（662KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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