Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan
Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan
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DOI：
10.1016/j.jeconom.2007.02.003
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发表时间：
2007-12
影响因子：
6.3
通讯作者：
Jialin Yu
中科院分区：
文献类型：
--
作者：
Jialin Yu
本文给出了广泛应用于金融领域的多元跳跃扩散过程的闭式似然逼近。对于固定的逼近阶，当采样间隔减小时，由该近似似然计算的最大似然估计(MLE)达到真实但不可计算的MLE的渐近效率。该方法被用来揭示人民币的重排概率。自2002年2月以来，市场暗示的调整强度增加了5倍。远期调整利率的期限结构完全表征了未来调整的概率，呈驼峰状，并在2004年年中达到峰值。调整的可能性对经济新闻发布和政府干预反应迅速。
This paper provides closed-form likelihood approximations for multivariate jump-diffusion processes widely used in finance. For a fixed order of approximation, the maximum-likelihood estimator (MLE) computed from this approximate likelihood achieves the asymptotic efficiency of the true yet uncomputable MLE as the sampling interval shrinks. This method is used to uncover the realignment probability of the Chinese Yuan. Since February 2002, the market-implied realignment intensity has increased fivefold. The term structure of the forward realignment rate, which completely characterizes future realignment probabilities, is hump-shaped and peaks at mid-2004. The realignment probability responds quickly to economic news releases and government interventions.