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Indexed by:期刊论文

Date of Publication:2022-06-29

Journal:系统工程理论与实践

Issue:12

Page Number:2165-2171

ISSN No.:1000-6788

Abstract:Since the returns of the CNY exchange rates present some jump features, this paper uses the jump-diffusion model to describe their sequential data. For identifying the law of jumps and solving the parameter estimation of the model, the paper proposes the mixed algorithm based on the jump identification and MCMC methods, i.e., combination of the Lee-Mykland jump identifying method and MCMC. By the simulation experiment, the error analysis shows that the mixed algorithm is superior to the simple MCMC method in estimating the parameters of the jump diffusion model. Also, empirical results sampling by the CNY/USD exchange rates of return show that the mixed algorithm can not only identify the accurate dates and laws of jumps of exchange rate returns, and the estimation validity of the model parameters improves considerably.

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