An empirical investigation of continuous-time equity return models

• 成果类型: Article
• 署名作者: Andersen, TG; Benzoni, L; Lund, J
• 署名单位: Northwestern University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00460
• 发表日期: 2002
• 页码: 1239-1284
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS; maximum-likelihood-estimation; TERM INTEREST-RATE; VOLATILITY MODELS; MOMENTS ESTIMATION; CURRENCY OPTIONS; PRICING-MODELS; asset returns; stock-prices; DIFFUSIONS

摘要

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We also find that the dominant empirical characteristics of the return process appear to be priced by the option market. Our analysis indicates a general correspondence between the evidence extracted from daily equity-index returns and the stylized features of the corresponding options market prices.