Parameter estimation of CNY exchange rates of jump-diffusion model using mixed algorithm of jump identification and MCMC
YANG Rui-cheng1,2, QIN Xue-zhi2, ZHOU Ying-ying2
1．School of Mathematics and Information, Ludong University, Yantai 264025, China;2．School of Management, Dalian University of Technology, Dalian 116024, China
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.
杨瑞成;秦学志;周颖颖. 基于跳辨识-MCMC组合算法的人民币汇率跳扩散模型参数估计问题[J]. 系统工程理论与实践, 2010, 30(12): 2165-2171.
YANG Rui-cheng;QIN Xue-zhi;ZHOU Ying-ying. Parameter estimation of CNY exchange rates of jump-diffusion model using mixed algorithm of jump identification and MCMC. Systems Engineering - Theory & Practice, 2010, 30(12): 2165-2171.
2010, Vol. 30 
