Under the assumption that asset prices follow a mixed gamma process,this paper first shows that return series can be presented as a difference of two gamma processes and then proposes a realized probability index for ...Under the assumption that asset prices follow a mixed gamma process,this paper first shows that return series can be presented as a difference of two gamma processes and then proposes a realized probability index for return direction forecasting.The underlying distribution of this new index is analyzed and found to be beta-distributed.Both theoretical and empirical results show that this new index is more efficient than the traditional binary index.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.72271055 and 12201113。
文摘Under the assumption that asset prices follow a mixed gamma process,this paper first shows that return series can be presented as a difference of two gamma processes and then proposes a realized probability index for return direction forecasting.The underlying distribution of this new index is analyzed and found to be beta-distributed.Both theoretical and empirical results show that this new index is more efficient than the traditional binary index.
