An empirical investigation of continuous time equity return models:
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 pronou...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2001
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| Schriftenreihe: | Working paper series / National Bureau of Economic Research
8510 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 46 S. graph. Darst. 22 cm |
Internformat
MARC
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| 100 | 1 | |a Andersen, Torben |e Verfasser |0 (DE-588)128603259 |4 aut | |
| 245 | 1 | 0 | |a An empirical investigation of continuous time equity return models |c Torben G. Andersen ; Luca Benzoni ; Jesper Lund |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2001 | |
| 300 | |a 46 S. |b graph. Darst. |c 22 cm | ||
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 8510 | |
| 520 | |a 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. | ||
| 700 | 1 | |a Benzoni, Luca |e Verfasser |0 (DE-588)130488879 |4 aut | |
| 700 | 1 | |a Lund, Jesper |e Verfasser |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 810 | 2 | |a National Bureau of Economic Research <Cambridge, Mass.> |t NBER working paper series |v 8510 |w (DE-604)BV002801238 |9 8510 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w8510.pdf |z kostenfrei |3 Volltext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016905438 | ||
Datensatz im Suchindex
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| author | Andersen, Torben Benzoni, Luca Lund, Jesper |
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| id | DE-604.BV023590108 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:26Z |
| indexdate | 2024-07-09T21:25:08Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016905438 |
| oclc_num | 248550901 |
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| owner_facet | DE-521 |
| physical | 46 S. graph. Darst. 22 cm |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Andersen, Torben Verfasser (DE-588)128603259 aut An empirical investigation of continuous time equity return models Torben G. Andersen ; Luca Benzoni ; Jesper Lund Cambridge, Mass. National Bureau of Economic Research 2001 46 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 8510 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. Benzoni, Luca Verfasser (DE-588)130488879 aut Lund, Jesper Verfasser aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 8510 (DE-604)BV002801238 8510 http://papers.nber.org/papers/w8510.pdf kostenfrei Volltext |
| spellingShingle | Andersen, Torben Benzoni, Luca Lund, Jesper An empirical investigation of continuous time equity return models |
| title | An empirical investigation of continuous time equity return models |
| title_auth | An empirical investigation of continuous time equity return models |
| title_exact_search | An empirical investigation of continuous time equity return models |
| title_exact_search_txtP | An empirical investigation of continuous time equity return models |
| title_full | An empirical investigation of continuous time equity return models Torben G. Andersen ; Luca Benzoni ; Jesper Lund |
| title_fullStr | An empirical investigation of continuous time equity return models Torben G. Andersen ; Luca Benzoni ; Jesper Lund |
| title_full_unstemmed | An empirical investigation of continuous time equity return models Torben G. Andersen ; Luca Benzoni ; Jesper Lund |
| title_short | An empirical investigation of continuous time equity return models |
| title_sort | an empirical investigation of continuous time equity return models |
| url | http://papers.nber.org/papers/w8510.pdf |
| volume_link | (DE-604)BV002801238 |
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