【摘要】 非对称双指数跳跃扩散模型是由Kou提出的一种简单的跳跃扩散模型,但Kou在提出该模型的时候并没有对模型的参数进行估计,基于此,本文以马尔可夫蒙特卡罗(MCMC)方法为工具对模型进行了估计,验证了MCMC方法对于处理非对称双指数跳跃扩散模型这类含有隐含变量的多参数模型估计的有效性,同时模拟试验表明非对称双指数跳跃扩散模型能够体现资产收益分布的尖峰厚尾以及有偏等特征。更多还原

【Abstract】 The asymmetric double exponential jump-diffusion model proposed by Kou(2002) is a simple jump-diffusion model.However,Kou did not estimate the asymmetric double exponential jump-diffusion model when the model was put forward,thus the paper uses Markov chain Monte Carlo(MCMC) method to estimate the model.Through the study,we demonstrate that the MCMC method provides a useful tool in analyzing the models including systems with unobservable state variables such as asymmetric double exponential jump-diffusion model,at the same time the simulation shows that the asymmetric double exponential jump-diffusion model exhibits many of the stylized facts about asset returns documented in the discrete-time financial econometrics literature,such as higher peak and thick tails.更多还原