資源描述：
《multi-scale jump and volitality analysis for high-frequency financial data》由會員上傳分享，免費在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫。
1、Multi-scaleJumpandVolatilityAnalysisforHigh-FrequencyFinancialData¤JianqingFanandYazhenWangVersionofMay2007AbstractThewideavailabilityofhigh-frequencydataformanyˉnancialinstrumentsstimulatesanupsurgeinterestinstatisticalresearchontheestimationofvolatil-ity.Jump-di?us
2、ionprocessesobservedwithmarketmicrostructurenoisearefrequentlyusedtomodelhigh-frequencyˉnancialdata.Yet,existingmethodsaredevelopedforeithernoisydatafromacontinuousdi?usionpricemodelordatafromajump-di?usionpricemodelwithoutnoise.Weproposemethodstocopewithbothjumpsint
3、hepriceandmarketmicrostructurenoiseintheobserveddata.Theyallowustoestimatebothintegratedvolatilityandjumpvariationfromthedatasampledfromjump-di?usionpriceprocesses,contam-inatedwiththemarketmicrostructurenoise.OurapproachistoˉrstremoveJianqingFanisFrederickMoore'18Pr
4、ofessorofFinance,DepartmentofOperationResearchandFinancialEngineering,PrincetonUniversity,Princeton,NJ08544.YazhenWangisprofessor,DepartmentofStatistics,UniversityofConnecticut,Storrs,CT06269.Fan'sresearchwaspartiallysupportedbysupportedbytheNSFgrantDMS-0532370andWan
5、g'sresearchwaspartiallysup-portedbytheNSFgrantDMS-0504323.Theauthorsthanktheeditor,associateeditor,andtwoanonymousrefereesforstimulatingcommentsandsuggestions,whichledtosigniˉcantimprovementsinbothsubstanceandthepresentationofthepaper.1jumpsfromthedataandthenapplynoi
6、se-resistantmethodstoestimatetheintegratedvolatility.Theasymptoticanalysisandthesimulationstudyrevealthattheproposedwaveletmethodscansuccessfullyremovethejumpsinthepriceprocessesandtheintegratedvolatilitycanbeestimatedasaccuratelyasinthecasewithnopresenceofjumpsinthe
7、priceprocesses.Inaddition,theyhaveoutstandingstatisticale±ciency.Themethodsareillustratedbyapplicationstotwohigh-frequencyexchangeratedatasets.1IntroductionDi?usionbasedstochasticmodelsareoftenemployedtodescribecomplexdynamicsystemswhereitisessentialtoincorporateinte
8、rnallyorexternallyoriginatingran-dom°uctuationsinthesystem.Theyhavebeenwidelyappliedtoproblemsinˉeldssuchasbiology,engineering,ˉnan
