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| Tekijä: | Scott, L. O. |
| Otsikko: | Stock Price Changes with Random Volatility and Jumps: Some Empirical Analysis |
| Lehti: | Quarterly Review of Economics and Business
1989 : SPRING, VOL. 29:1, p.21-32 |
| Asiasana: | SHARES SHARE PRICES |
| Kieli: | eng |
| Tiivistelmä: | The authors of the article has examined the implications of a model for stock price changes that has random volatility as well as jumps. The test applied are based on restrictions implied for five sample moments that are consistently estimated, assuming the existence of the moments involved. The empirical tests show evidence of jumps for the maximum likelihood estimator and no evidence of jumps in two well-diversified portfolios. These findings support the idea that jumps are diversifiable. The present results suggest that earlier empirical evidence on jumps has been exaggerated. |
SCIMA