A comment on Christoffersen, Jacobs, and Ornthanalai (2012), Dynamic jump intensities and risk premiums: Evidence from S&P 500 returns and options

• 成果类型: Editorial Material
• 署名作者: Durham, Garland; Geweke, John; Ghosh, Pulak
• 署名单位: California State University System; California Polytechnic State University San Luis Obispo; University of Technology Sydney; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Colorado State University System; Colorado State University Fort Collins; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.08.004
• 发表日期: 2015
• 页码: 210-214
• 关键词: Compound Poisson jumps; RISK PREMIUMS; Analytical filtering; Dynamic jump intensity

摘要

Christoffersen, Jacobs, and Ornthanalai (2012) (CJO) propose an interesting and useful class of generalized autoregressive conditional heteroskedasticity (GARCH)-like models with dynamic jump intensity, and find evidence that the models not only fit returns data better than some commonly used benchmarks but also provide substantial improvements in option pricing performance. While such models pose difficulties for estimation and analysis, CJO propose an innovative approach to filtering intended to addresses them. However, some statistical issues arise that their approach leaves unresolved, with implications for the option pricing results. This note proposes a solution based on using the filter and estimator proposed by CJO but interpreted in the context of an alternative model. With respect to this model, the estimator is consistent, and likelihood-based model comparisons and hypothesis tests are valid. (C) 2014 Elsevier B.V. All rights reserved.