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An empirical investigation of continuous-time equity return models

Author: Torben G Andersen; Luca Benzoni; Jesper Lund; National Bureau of Economic Research.
Publisher: Cambridge, MA : NBER, ©2001.
Series: Working paper series (National Bureau of Economic Research), no. 8510.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: 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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Torben G Andersen; Luca Benzoni; Jesper Lund; National Bureau of Economic Research.
OCLC Number: 48268661
Notes: "October 2001."
Description: 1 online resource.
Series Title: Working paper series (National Bureau of Economic Research), no. 8510.
Responsibility: Torben G. Andersen, Luca Benzoni, Jesper Lund.

Abstract:

Abstract: 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.

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