Artikel
Maximum likelihood estimation of stock volatility using jump-diffusion models
We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002 to September 2016, we hypothesize that stocks with high positive (negative) slopes are more likely to have large positive (negative) jumps in the future. As such, we expect to observe salient properties of volatility on listed stocks. We also conjecture that it is valid to use maximum likelihood procedures in estimating jumps in stocks.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-17 ; Abingdon: Taylor & Francis
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Methodological Issues: General
- Thema
-
Merton jump diffusion model
Black scholes volatility (IV) curves
Weiner process
maximum likelihood estimation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chekenya, Nixon S.
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
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Abingdon
- (wann)
-
2019
- DOI
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doi:10.1080/23322039.2019.1582318
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chekenya, Nixon S.
- Taylor & Francis
Entstanden
- 2019
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