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...

We generalize the Kou (2002) double exponential jump-diffusion model in two directions. First, we independently displace the two tails of the jump size distribution away from the origin. Second, we allow for each of the displaced tails to follow a gamma distribution with an integer-valued shape...

When alternatives are compared using an estimated criterion function, this may introduce a discrepancy between the true and the estimated criterion. In this paper, we consider a situation where a preordering (ranking) of stochastic sequences is defined from expected loss/gain, using a parametric...

Der erste Aufsatz der vorliegenden Dissertation untersucht die Dynamik der realisierten Volatilität. Ein erfolgreiches Model in diesem Bereich ist das sogenannte heterogene auto-regressive Modell (HAR), das konzeptionell einfach und gut für Vorhersagen geeignet ist. Eine neue Herangehensweise...