Abstract #300473

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JSM 2002 Abstract #300473
Activity Number: 157
Type: Invited
Date/Time: Tuesday, August 13, 2002 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #300473
Title: Why Distinguishing Jumps from Volatility is Difficult?
Author(s): Yacine Ait-Sahalia*+
Affiliation(s): Princeton University
Address: 26 Prospect Avenue, Princeton, New Jersey, 08540-5296, USA
Keywords:
Abstract:

This talk examines the estimation of parameters of a discretely sampled Markov process whose continuous-time sample paths are generated by a continuous Brownian term and a stochastic jump term, as is often the case with financial asset prices. In discretely sampled data, every change in the value of the variable is by nature a discrete jump, yet we wish to estimate jointly from these data the underlying continuous-time parameters driving the Brownian and jump terms. I will focus on the effect of the presence of jumps on the estimation of the volatility parameters, and the effect of the presence of the continuous Brownian part on the estimation of the jumps parameters, in the context of maximum-likelihood and method of moments estimators. These effects are studied as a function of the frequency at which the continuous-time process is sampled.

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