All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

Benoît Sévi and César Baena
''Brownian motion vs. pure-jump processes for individual stocks''
( 2011, Vol. 31 No.4 )
Using recent activity signature function methodology developed in Todorov and Tauchen (2010), we provide empirical evidence that individual stocks from the New York Stock Exchange are adequately represented by a Brownian motion plus medium to large (rare) jumps thus invalidating the pure-jump process hypothesis proposed in numerous contributions. This result improves our understanding of the fine structure of asset prices and has implications for derivatives pricing.
Keywords: asset prices, Brownian motion, jumps, activity signature functions
JEL: C1 - Econometric and Statistical Methods: General
Manuscript Received : Sep 20 2011 Manuscript Accepted : Nov 13 2011

  This abstract has been downloaded 1644 times                The Full PDF of this paper has been downloaded 152019 times