(Very Difficult) Suppose you want to model stock returns r as being driven purely by jumps The jumps arrive at rate 0 1 per time interval When they do arise, they are normally distributed with mean 0 05 and variance 2 0 50 2 What is the variance, skewness, and kurtosis of returns ...

Formulae for these quantities are provided in Das and Sundaram 1999 and repeated in the chapter ...

(Very Difficult) Suppose you want to model stock returns r as being driven purely by jumps. The...

Question:

(Very Difficult) Suppose you want to model stock returns r as being driven purely by jumps. The jumps arrive at rate λ = 0.1 per time interval. When they do arise, they are normally distributed with mean μ = −0.05 and variance γ² = 0.50². What is the variance, skewness, and kurtosis of returns?

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