Detecting jumps from Levy jump diffusion processes

• 成果类型: Article
• 署名作者: Lee, Suzanne S.; Hannig, Jan
• 署名单位: University System of Georgia; Georgia Institute of Technology; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2009.12.009
• 发表日期: 2010
• 页码: 271-290
• 关键词: Levy jumps; nonparametric tests; Belief measure; False detection; high-frequency data

摘要

Recent asset-pricing models incorporate jump risk through Levy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Levy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics. Empirical evidence of both small and big jumps based on these tests suggests that models for individual equities and overall market indices require incorporating Levy-type jumps. The evidence of small jumps also helps explain why jumps in the market index are uncorrelated with jumps in its component equities. (C) 2009 Elsevier B.V. All rights reserved.