Price and volatility co-jumps

• 成果类型: Article
• 署名作者: Bandi, F. M.; Reno, R.
• 署名单位: Johns Hopkins University; Universite Catholique de Lille; EDHEC Business School; University of Siena
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.05.007
• 发表日期: 2016
• 页码: 107-146
• 关键词: stochastic volatility; Jumps in prices; Jumps in volatility; Co-jumps; Infinitesimal cross-moments; Return risk premia; Variance risk premia

摘要

The nature of the dependence between discontinuities in prices and contemporaneous discontinuities in volatility (co-jumps) has been reported by many as being elusive, in terms of sign, magnitude, and statistical significance. Using a novel identification strategy in continuous time relying on trade-level information for spot variance estimation, as well as infinitesimal cross-moments, we document that a sizeable proportion of discontinuous changes in prices are associated with strongly anti-correlated, contemporaneous, discontinuous changes in volatility. Assuming a possibly nonmonotonic pricing kernel, we illustrate the equilibrium implications of price and volatility co-jumps for return and variance risk premia. (C) 2015 Elsevier B.V. All rights reserved.