A Two-stage Approach for Estimating Jump-diffusion Model with Application to Daily Returns of USD/CNY Ezchange Rates

摘要：

The time series of daily returns of USD/CNY exchange rates suggest that there exists a leptokurtic feature (higher peak and fat tail) that results from some occasional jumps. So, we introduce the jump-diffusion model to describe the time series of daily returns. Since the traditional parameter estimation method, for example, MLE, can hardly detect the jumps exactly, then, we combine the jump detection method proposed by Lee and Mykland into the MLE method, formulate the two-stage approach for estimating the jump-diffusion model. Based on this, we further do some empirical results for daily returns of USD/CNY exchange rates, derive that the two-stage approach can fit the real data relatively better.

关键词： USD/CNY Ezchange Rates two-stage approach jump-diffusion model standard Brownian motion Poisson process

作者: Ruicheng Yang Yingying Zhou

作者单位: School of Mathematics and Information Ludong University Yantai, China School of Management Science D School of Management Science Dalian University of Technology Dalian, China

会议类型: 国际会议

会议名称: Second International Symposium on Electronic Commerce and Security(第二届电子商务与安全国际研究大会)(ISECS 2009)

会议地点: 南昌

会议语种:英文

页码: 569-572

在线出版日期: 2009-05-22（万方平台首次上网日期，不代表论文的发表时间）