Studies of Chinese stock market leverage effect based on jump-diffusion process

被引：0

作者：

Liang, Yu ^{[1
]}

Zhao, Xinan ^{[1
]}

Zhang, Libing ^{[1
]}

机构：

[1] Northeastern Univ, Sch Business & Management, Shenyang 110004, Peoples R China

来源：

ICIM 2006: Proceedings of the Eighth International Conference on Industrial Management | 2006年

关键词：

Chinese stock market; jump-diffusion process; leverage effect; simulated annealing; volatility;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A leverage effect method based on jump-diffusion process is investigated in this paper. In this method, event risk in stock market is described by random jumps and the stock return series can be described by a Jump-GJR process whose parameters can be estimated by simulated annealing algorithm. By simulation method, the distribution of stock return and its intending interval estimation value can be obtained simply. The empirical study on index of Shanghai security markets shows it's reasonable and necessary to incorporate event risk to leverage effect models.

引用

页码：809 / 813

页数：5

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