重庆理工大学学报（自然科学版）2017，Vol.31Issue(3)：151-157,7.DOI:10.3969/j.issn.1674-8425(z).2017.03.023
基于LM方法的双指数跳扩散模型的参数估计
Parameter Estimation of Double Exponential Jump Diffusion Model Based on LM Method
摘要
Abstract
This paper introduces the characteristics of the double exponential jump diffusion model,and expounds the basic idea of the Lee-Mykland method to identify the jump,and uses the maximum likelihood method to estimate the parameters,thus forming a new combination method.We use Shanghai stock index from 2010 to 2016 to do empirical analysis.The results show that using the combination method of return time series data to estimate can not only effectively estimate the parameters of the jump diffusion model,but also identify the jumping point and the corresponding parameter.关键词
双指数模型/Lee-Mykland方法/上证指数/跳跃识别Key words
double exponential model/Lee-Mykland method/Shanghai composite index/jump recognition分类
数理科学引用本文复制引用
吕韩,陈萍..基于LM方法的双指数跳扩散模型的参数估计[J].重庆理工大学学报（自然科学版）,2017,31(3):151-157,7.基金项目
国家自然科学基金资助项目(11271189) （11271189）
