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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2001
|
| Series: | Working paper series / National Bureau of Economic Research
8510 |
| Online Access: | Volltext |
| Summary: | 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. |
| Physical Description: | 46 S. graph. Darst. 22 cm |
Staff View
MARC
| LEADER | 00000nam a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV023590108 | ||
| 003 | DE-604 | ||
| 005 | 20080625000000.0 | ||
| 007 | t | ||
| 008 | 011116s2001 xxud||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)248550901 | ||
| 035 | |a (DE-599)BVBBV023590108 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-521 | ||
| 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 | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 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 | ||
Record in the Search Index
| _version_ | 1804138245794037760 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Andersen, Torben Benzoni, Luca Lund, Jesper |
| author_GND | (DE-588)128603259 (DE-588)130488879 |
| author_facet | Andersen, Torben Benzoni, Luca Lund, Jesper |
| author_role | aut aut aut |
| author_sort | Andersen, Torben |
| author_variant | t a ta l b lb j l jl |
| building | Verbundindex |
| bvnumber | BV023590108 |
| ctrlnum | (OCoLC)248550901 (DE-599)BVBBV023590108 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01945nam a2200337zcb4500</leader><controlfield tag="001">BV023590108</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20080625000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">011116s2001 xxud||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)248550901</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV023590108</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-521</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Andersen, Torben</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)128603259</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">An empirical investigation of continuous time equity return models</subfield><subfield code="c">Torben G. Andersen ; Luca Benzoni ; Jesper Lund</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="b">National Bureau of Economic Research</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">46 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="c">22 cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Working paper series / National Bureau of Economic Research</subfield><subfield code="v">8510</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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.</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Benzoni, Luca</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)130488879</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Lund, Jesper</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="810" ind1="2" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.></subfield><subfield code="t">NBER working paper series</subfield><subfield code="v">8510</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">8510</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w8510.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016905438</subfield></datafield></record></collection> |
| 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 |
| open_access_boolean | 1 |
| owner | DE-521 |
| 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 |
| work_keys_str_mv | AT andersentorben anempiricalinvestigationofcontinuoustimeequityreturnmodels AT benzoniluca anempiricalinvestigationofcontinuoustimeequityreturnmodels AT lundjesper anempiricalinvestigationofcontinuoustimeequityreturnmodels |