Is a pure jump process fitting the high frequency data better than a jump-diffusion process?

Xinbing Kong

doi:10.1016/j.jspi.2012.08.007

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Is a pure jump process fitting the high frequency data better than a jump-diffusion process?

Xinbing Kong

Year: 2012 Journal: Journal of Statistical Planning and Inference Vol: 143 (2)Pages: 315-320 Publisher: Elsevier BV

DOI: 10.1016/j.jspi.2012.08.007

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Keywords:

Mathematics Jump Jump diffusion Jump process Process (computing) Diffusion process Statistical physics Statistics Diffusion Applied mathematics Econometrics Innovation diffusion Computer science Thermodynamics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Credit Risk and Financial Regulations

Social Sciences → Economics, Econometrics and Finance → Finance

Is a pure jump process fitting the high frequency data better than a jump-diffusion process?

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