| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5976 |
| 来源ID | Working Paper 5976 |
| Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance | |
| Sanjiv Ranjan Das; Rangarajan K. Sundaram | |
| 发表日期 | 1997-03-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | It is widely acknowledged that many financial markets exhibit a considerably greater degree of kurtosis (and sometimes also skewness) than is consistent with the Geometric Brownian Motion model of Black and Scholes (1973). Among the many alternative models that have been proposed in this context, two have become especially popular in recent years: models of jump-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to identifying simple criteria for judging the consistency of either model with data from a given market; our specific focus is on the patterns of skewness and kurtosis that arise in each case as the length of the interval of observations changes. We find that, regardless of the precise parameterization employed, these patterns are strikingly similar within each class of models, enabling a simple consistency test along the desired lines. As an added bonus, we find that for most parameterizations, the set of possible patterns differs sharply across the two models, so that data from a given market will typically not be consistent with both models. However, there exist exceptional parameter configurations under which skewness and kurtosis in the two models exhibit remarkably similar behavior from a qualitative standpoint. The results herein will be useful to empiricists, theorists and practitioners looking for parsimonious models of asset prices. |
| URL | https://www.nber.org/papers/w5976 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563477 |
| 推荐引用方式 GB/T 7714 | Sanjiv Ranjan Das,Rangarajan K. Sundaram. Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5976.pdf（1662KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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