Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options

• 成果类型: Article
• 署名作者: Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat
• 署名单位: University of Houston System; University of Houston; University of Toronto; Copenhagen Business School; Tilburg University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.05.017
• 发表日期: 2012
• 页码: 447-472
• 关键词: Compound Poisson jumps; Analytical filtering; Fat tails; RISK PREMIUMS

摘要

We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard models without jumps when estimated on S&P500 returns. We find very strong support for time-varying jump intensities. Compared to the risk premium on dynamic volatility, the risk premium on the dynamic jump intensity has a much larger impact on option prices. We confirm these findings using joint estimation on returns and large option samples. (C) 2012 Elsevier B.V. All rights reserved.