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: Data Set
Language: English
Place of publication: Taylor & Francis 20.03.2019
Data of publication: 2019-03-20
Discipline: Medicine
Bibliography: 10.6084/m9.figshare.7869314
10.1080/23322039.2019.1582318
Subjects:
Online Access: Fulltext
Database: DataCite (Open Access)
DataCite
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