Hello,
I ´ve estimated parameters for jump diffusion process(combination of normal distribution and compound poisson process) from daily log returns and i am trying to convert them to annualized one´s. I am having problem with the intensity of jumps lambda (coming from poisson distribution).
It´s that simply
lambda_annualized=lambda_daily*(number of trading days)?
Can anyone help me please?Thank´s in advance.
I ´ve estimated parameters for jump diffusion process(combination of normal distribution and compound poisson process) from daily log returns and i am trying to convert them to annualized one´s. I am having problem with the intensity of jumps lambda (coming from poisson distribution).
It´s that simply
lambda_annualized=lambda_daily*(number of trading days)?
Can anyone help me please?Thank´s in advance.
