search query: @indexterm Diffusion / total: 191
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| Author: | Mandeep, S. Wang, C. Wang, J. |
| Title: | Jump diffusion processes and emerging bond and stock markets: an investigation using daily data |
| Journal: | Multinational Finance Journal
1997 : SEP, VOL. 1:3, p. 169-198 |
| Index terms: | DIFFUSION STOCK MARKETS DATA BASES |
| Language: | eng |
| Abstract: | The underlying stochastic processes that drive returns in several emerging bond and stock markets are investigated using the pure diffusion, the jump diffusion, the ARCH pure diffusion, and the ARCH jump diffusion models. The results indicate that jump diffusion models fit the data better than pure diffusion models. Possible sources and linkages of information surprises in emerging stock and bond markets are also investigated. Bond and stock returns of the same country exhibit simultaneous jumps, indicating a possible linkage of the two markets. |
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