On Jump Processes in the Foreign Exchange and Stock Markets
This article investigates the existence of discontinuities in the sample path of exchange rates and of a stock market index. Maximum-likelihood estimation of a mixed jump-diffusion process reveals that exchange rates exhibit systematic discontuinities, even after allowing for…
# On Jump Processes in the Foreign Exchange and Stock Markets
> OpenAlex Metadata Hub · https://openalex.org/W2063750298
## Bibliographic
- **DOI:** 10.1093/rfs/1.4.427
- **Year:** 1988
- **Citations:** 642
- **Open Access:** No (closed)
- **License:** —
- **Source:** https://doi.org/10.1093/rfs/1.4.427
## Authors
- Philippe Jorion
## Abstract
This article investigates the existence of discontinuities in the sample path of exchange rates and of a stock market index. Maximum-likelihood estimation of a mixed jump-diffusion process reveals that exchange rates exhibit systematic discontuinities, even after allowing for conditional heteroskedasticity in the diffusion process. The results are much more significant in the foreign exchange market than in the stock market, which suggests differences in the structure of these markets. Finally, this jump component is shown to explain some of the empirically observed mispricings in the currency options market.
## Keywords
Jump, Jump diffusion, Foreign exchange market, Econometrics, Economics, Foreign exchange, Heteroscedasticity, Stock market, Currency, Stock exchange, Classification of discontinuities, Jump process, Financial economics, Stock market index, Monetary economics, Mathematics, Finance, Geography
## Concepts
- Jump
- Jump diffusion
- Foreign exchange market
- Econometrics
- Economics
- Foreign exchange
- Heteroscedasticity
- Stock market
- Currency
- Stock exchange
- Classification of discontinuities
- Jump process
- Financial economics
- Stock market index
- Monetary economics
- Mathematics
- Finance
- Geography
- Archaeology
- Quantum mechanics
- Physics
- Context (archaeology)
- Mathematical analysis
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*Metadata only — full text not imported unless Open Access license permits.*
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Tóm lược học thuật (đã diễn giải): This article investigates the existence of discontinuities in the sample path of exchange rates and of a stock market index. Maximum-likelihood estimation of a mixed jump-diffusion process reveals that exchange rates exhibit systematic discontuinities, even after allowing for conditional heteroskedasticity in the diffusion process. The results are much more significant in the foreign exchange market than in the stock market, which suggests differences in the structure of these markets. Finally, this jump component is shown to explain some of the empirically observed mispricings in the currency options market.
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Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.
1. This article investigates the existence of discontinuities in the sample path of exchange rates and of a stock market index.
2. Maximum-likelihood estimation of a mixed jump-diffusion process reveals that exchange rates exhibit systematic discontuinities, even after allowing for conditional heteroskedasticity in the diffusion process.
3. The results are much more significant in the foreign exchange market than in the stock market, which suggests differences in the structure of these markets.
4. Finally, this jump component is shown to explain some of the empirically observed mispricings in the currency options market.
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