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雷达卡
摘要翻译：
在过去的十年里，为了模拟市场行为，出于优惠定价和风险管理的目的，带跳跃的利税程序越来越受欢迎。Chan等人。（2009）介绍了经验似然方法的使用，通过其特征函数估计各种扩散过程的参数，这在大多数情况下是容易使用的。估计采用市场收益序列。除了回报系列之外，市场上还有许多活跃的衍生品，其价格也包含了有关基础过程参数的信息。这一观察促使我们在本文中把收益率序列和在市场上观察到的相关衍生品价格结合起来，以便提供关于市场运动的更能反映情况的估计，并获得有效的收益。在适当的正则性条件下，建立了一般的渐近性质，包括相合性和渐近正态性。通过仿真和实例验证了该方法的可行性和有效性。
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英文标题：
《Parameter Estimation using Empirical Likelihood combined with Market
Information》
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作者：
Steven Kou and Tony Sit and Zhiliang Ying
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最新提交年份：
2012
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分类信息：
一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood methods to estimate the parameters of various diffusion processes via their characteristic functions which are readily avaiable in most cases. Return series from the market are used for estimation. In addition to the return series, there are many derivatives actively traded in the market whose prices also contain information about parameters of the underlying process. This observation motivates us, in this paper, to combine the return series and the associated derivative prices observed at the market so as to provide a more reflective estimation with respect to the market movement and achieve a gain of effciency. The usual asymptotic properties, including consistency and asymptotic normality, are established under suitable regularity conditions. Simulation and case studies are performed to demonstrate the feasibility and effectiveness of the proposed method.
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PDF链接：
https://arxiv.org/pdf/1201.2899
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