An Empirical Investigation of Continuous - Time Equity Return Models  

Oleh:

Lund, Jesper ; Benzoni, Luca ; Andersen, Torben G.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 3 (2002), page 1239-1284.
Topik: an investigation; studies; rates of return; stochastic models; volatility; options markets
Fulltext: p 1239.pdf (428.92KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper extends the class of stochastic volatility diffusions for asset returns to encompass poisson jups of time - varying intensity. We find that any reasonably descriptive continuous - time model for equity - index returns must allow for discrete jumps as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We also find that the dominant empirical characteristics of the return process appear to be priced by the option market. Our analysis indicates a general correspondence between the evidence extracted from daily equity - index returns and the stylized features of the corresponding options market prices.

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