Internationally Correlated Jumps

Internationally Correlated

Stock returns are characterized by extreme observations, jumps that would not occur under the smooth variation typical of a Gaussian process. We find that jumps are prevalent in most countries. This has been noticed before in some countries, but there has been little investigation of whether the jumps are internationally correlated. Their possible inter-correlation is important for investors be...

Estimating Correlated Jumps and Stochastic Volatilities

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model’s parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The methodology is successfully tested on several artificially generated bivariate time series and then on t...

Rate Theory for Correlated Processes: Double Jumps in Adatom Diffusion

We study the rate of activated motion over multiple barriers, in particular the correlated double jump of an adatom diffusing on a missing-row reconstructed platinum (110) surface. We develop a transition path theory, showing that the activation energy is given by the minimum-energy trajectory which succeeds in the double jump. We explicitly calculate this trajectory within an effective-medium ...

Leverage, heavy-tails and correlated jumps in stochastic volatility models

This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps. We illustrate our method using simulated data and analyze daily stock returns data on S&P500 index and TOPIX. Model comparisons are conducted based...

Thinking Internationally