کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097151 | 1376572 | 2007 | 36 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan](/preview/png/5097151.png)
چکیده انگلیسی
This paper provides closed-form likelihood approximations for multivariate jump-diffusion processes widely used in finance. For a fixed order of approximation, the maximum-likelihood estimator (MLE) computed from this approximate likelihood achieves the asymptotic efficiency of the true yet uncomputable MLE as the sampling interval shrinks. This method is used to uncover the realignment probability of the Chinese Yuan. Since February 2002, the market-implied realignment intensity has increased fivefold. The term structure of the forward realignment rate, which completely characterizes future realignment probabilities, is hump-shaped and peaks at mid-2004. The realignment probability responds quickly to economic news releases and government interventions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 141, Issue 2, December 2007, Pages 1245-1280
Journal: Journal of Econometrics - Volume 141, Issue 2, December 2007, Pages 1245-1280
نویسندگان
Jialin Yu,