带Poisson跳和杠杆效应的资产价格时点波动非参数估计

发布时间：2018-03-13 06:12

本文选题：时点波动　切入点：Poisson跳　出处：《数量经济技术经济研究》2012年12期 　论文类型：期刊论文

【摘要】：本文采用时间序列核平滑技术和跳消除方法,对带Poisson跳和杠杆效应的资产格时点波动(Spot Volatility)进行估计。采用随机阵列极限理论,证明了估计量存在杠杆效应时的一致性和渐进正态性,采用门限方法消除资产价格中Poisson跳对时点波动估计的影响,对现有文献中资产价格连续并且无杠杆效应假设下的时点波动估计量进行了实质性改进和推广。本文分析估计量的有限样本偏差并给出了纠偏的方法。蒙特卡洛模拟表明,本文给出的估计量明显优于文献中现有估计量。
[Abstract]:In this paper, the time series kernel smoothing technique and hop elimination method are used to estimate the time fluctuation of asset lattice with Poisson jump and leverage effect, and the stochastic array limit theory is used. The consistency and asymptotic normality of the estimator in the presence of leverage effect are proved. The threshold method is used to eliminate the influence of Poisson jump in asset price on time fluctuation estimation. In this paper, the time point volatility estimator under the assumption of continuous asset price and no leverage effect is substantially improved and generalized. In this paper, the finite sample deviation of the estimator is analyzed and a correction method is given. The Monte Carlo simulation shows that, The estimator given in this paper is obviously superior to the existing estimator in the literature.
【作者单位】：上海财经大学经济学院;
【基金】：上海市重点学科建设项目(B801)的资助
【分类号】：F224;F830

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