考虑跳跃与市场噪音条件下波动率估计与应用研究

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1、天津大学博士学位论文考虑跳跃与市场噪音条件下波动率估计与应用研究姓名：姚宁申请学位级别：博士专业：金融工程指导教师：王春峰20090501ABSTRACTResearchonsecurltiesmarketVolatilit)，hasbeenthemainissueinthef-eldofmodemfinancialresearchforalongtime．TheVolatilityisthecoreofthemnctionofsecuritiesmarket，whichispricediscoVe秽andcapitalallocation．Therefore，howtoestimat

2、evolatilit)，ofassetequilibriumpriceconsideringjumpandmarketmicrostmcturenoisehasimportanttheoreticaland印pliedValue．Inthispaper，westudytheestimationmethodofVolatilityofassetequilibriumpriceconsideringjumpandmarketmicrostructurenoiseandtheapplicationofassetallocationf两mtheperspectiVeof6nancialmark

3、etmicrostructurealongrealizedvolatilityresearchframework．ThedissenationincludesfiVetheoreticalandempiricalaspects：1．FeaturesresearchofjumpbehaViorofrealizedVolatilityinChinesestockmarketconsideringmarketmicrostmctlLurenoise．Initially，buildingontheoreticalresultsforbi—powerVariationmeasures，rea“z

4、edVolatili妙isdiVidedinto伯，oparts：thecontinuoussamplepathVariationandthediscontinuousjumpVariation．ThestatiSticalfeatureofjumpVariationisStudied。ThenhowcontinuoussamplepathVarianceanddiscretejumpVariationaf&ctthepredictionofreaIizedVoIatilit)，respectiVeIyisexaminedbyusingaHAR—Rv-CJVolatilit)，fore

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6、index．7T11eHushen300indexisthesu巧ectindexofstockindexf-uturescomingsoon，sotheresultshowsthatthereis鳓rongriskrelationshipbet、)~，eenourgtockmarketandStockindexfuturesmarket．FjnallythefoundationisIaidforunitedmonitoringmechanismdesigningbetweenstockmarketandstockindexmturesmarketinChina．3．Featuresr

7、esearchofmarketmicros仃ucturenoiseinChina．Wemeasurethedi仃．erenceoftransactionpriceandf．ullinf．011『nationpricebyusinganactingindicatorwhichisnamedfullinfornlationtransactioncost．Thedif传rencebetweenefficientpriceandmllinfomatio