Maximum likelihood estimation of stock volatility using jump-diffusion models

Maximum likelihood estimation of stock volatility using jump-diffusion models

We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002 to Se...

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Bibliographic Details
Main Author:	Nixon S. Chekenya
Format:	Article
Language:	English
Published:	Taylor & Francis Group 2019-01-01
Series:	Cogent Economics & Finance
Subjects:	merton jump diffusion model black scholes volatility (iv) curves weiner process maximum likelihood estimation
Online Access:	http://dx.doi.org/10.1080/23322039.2019.1582318

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