Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan.
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 uncomput...
| Publicado en: | Journal of Econometrics Vol. 141; no. 2; pp. 1245 - 1281 |
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| Formato: | Artículo |
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Elsevier Science
December 2007
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511373107&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511373107 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 03044076 ECM jtl: Journal of Econometrics issn: 03044076 maglogo: N pubinfo: dt: December 2007 vid: 141 iid: 2 pid: 1004 pub: Elsevier Science artinfo: ui: 511373107 10.1016/j.jeconom.2007.02.003 ppf: 1245 ppct: 36 formats: tig: atl: Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan. aug: au: Yu, Jialin su: Maximum likelihood statistics Money Diffusion processes China sug: subj: China Maximum likelihood statistics Money Diffusion processes ab: 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. Copyright (c) 2007 Elsevier B.V. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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