全球智库信息集成服务系统(G2TT): An Empirical Investigation of Continuous-Time Equity Return Models

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w8510
来源ID	Working Paper 8510
	An Empirical Investigation of Continuous-Time Equity Return Models
	Torben G. Andersen; Luca Benzoni; Jesper Lund
发表日期	2001-10-01
出版年	2001
语种	英语
摘要	This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps 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.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Econometrics ; Estimation Methods
URL	https://www.nber.org/papers/w8510
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/566114
推荐引用方式 GB/T 7714	Torben G. Andersen,Luca Benzoni,Jesper Lund. An Empirical Investigation of Continuous-Time Equity Return Models. 2001.