Title page for etd-0804110-144650


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URN etd-0804110-144650
Author Yi-Po Tsai
Author's Email Address No Public.
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Department Applied Mathematics
Year 2009
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title A Study on The Random and Discrete Sampling
Effect of Continuous-time Diffusion Model
Date of Defense 2010-06-25
Page Count 41
Keyword
  • high-frequency data
  • continues-time diffusion model
  • Hermite expansion
  • random sampling
  • Abstract High-frequency financial data are not only discretely sampled in time but the time
    separating successive observations is often random. We review the paper of Aït-Sahalia
    and Mykland (2003), that measure the effects of discreteness sampling and ignoring the
    randomness of the sampling for estimating the m.l.e of a continuous-time diffusion model.
    In that article, three different assumptions and restrict in one made on the sampling intervals,
    and the corresponding likelihood function, asymptotic normality, and covariance
    matrix are obtained. It is concluded that the effects due to discretely sampling are smaller
    than the effect of simply ignoring the sampling randomness. This study focuses on rechecking
    the results in the paper of A‥ıt-Sahalia and Mykland (2003) including theory, simulation
    and application. We derive a different likelihood function expression from A‥ıt-Sahalia and
    Mykland (2003)’s result. However, the asymptotic covariance are consistent for both approaching
    in the O-U process. Furthermore, we conduct an empirical study on the high
    frequency transaction time data by using non-homogeneous Poisson Processes.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • May-Ru Chen - co-chair
  • Shih-Feng Huang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0804110-144650.pdf
  • indicate access worldwide
    Date of Submission 2010-08-04

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