Showing 1 - 10 of 34
This paper examines continuous-time stochastic volatility models incorporating jumps in returns and volatility. We develop a likelihood-based estimation strategy and provide estimates of parameters, spot volatility, jump times, and jump sizes using S&P 500 and Nasdaq 100 index returns. Estimates...
Persistent link: https://www.econbiz.de/10005691311
This paper examines a class of continuous-time models incorporating jumps in returns and volatility, in addition to diffusive stochastic volatility. We develop a likelihood-based estimation strategy and provide estimates of model parameters, spot volatility, jump times and jump sizes using both...
Persistent link: https://www.econbiz.de/10005787379
This paper provides an optimal filtering methodology in discretely observed continuous-time jump-diffusion models. Although the filtering problem has received little attention, it is useful for estimating latent states, forecasting volatility and returns, computing model diagnostics such as...
Persistent link: https://www.econbiz.de/10004995150
We study returns on over-the-counter stocks and find that these returns are extremely negative on average. The distribution of OTC stock returns is highly positively skewed: while many of the stocks in our sample become worthless, a few do extremely well. We investigate whether this negative...
Persistent link: https://www.econbiz.de/10011208265
This paper analyzes returns to trading strategies in options markets that exploit information given by a theoretical asset pricing model. We examine trading strategies in which a positive portfolio weight is assigned to assets which market prices exceed the price of a theoretical asset pricing...
Persistent link: https://www.econbiz.de/10010989565
Persistent link: https://www.econbiz.de/10005023773
This paper examines the empirical performance of jump diffusion models of stock price dynamics from joint options and stock markets data. The paper introduces a model with discontinuous correlated jumps in stock prices and stock price volatility, and with state-dependent arrival intensity. We...
Persistent link: https://www.econbiz.de/10005334749
This paper studies models in which the a stock price contains a random walk and a stationary component, as in Fama and French [Fama, Eugene F., and Kenneth R. French, 1988, Permanent and Temporary Components of Stock Returns, Journal of Political Economy 96, 246-273.] and Poterba and Summers...
Persistent link: https://www.econbiz.de/10005199057
Economic data are collected at various frequencies but econometric estimation typically uses the coarsest frequency. This paper develops a Gibbs sampler for estimating VAR models with mixed and irregularly sampled data. The approach allows efficient likelihood inference even with irregular and...
Persistent link: https://www.econbiz.de/10009421368
No-arbitrage models are extremely flexible modelling tools but often lack economic motivation. This paper describes an equilibrium consumption-based CAPM framework based on Epstein-Zin preferences, which produces analytic pricing formulas for stocks and bonds under the assumption that macro...
Persistent link: https://www.econbiz.de/10009191102