Self-Exciting Jumps, Learning, and Asset Pricing Implications

• 成果类型: Article
• 署名作者: Fulop, Andras; Li, Junye; Yu, Jun
• 署名单位: ESSEC Business School; ESSEC Business School; Singapore Management University; Singapore Management University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu078
• 发表日期: 2015
• 页码: 876
• 关键词: EXCESS VOLATILITY; stock-prices; predictability; simulation; Finite

摘要

The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting, and option pricing.