منابع مشابه
Beyond Stochastic Volatility and Jumps in Returns and Volatility
While a great deal of attention has been focused on stochastic volatility in stock returns, there is strong evidence suggesting that return distributions have time-varying skewness and kurtosis as well. Under the risk-neutral measure, for example, this can be seen from variation across time in the shape of Black-Scholes implied volatility smiles. This paper investigates model characteristics th...
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Concerning price processes, the fact that the volatility is not constant has been observed for a long time. So we deal with models as dXt = μtdt + σtdWt where σ is a stochastic process. Recent works on volatility modeling suggest that we should incorporate jumps in the volatility process. Empirical observations suggest that simultaneous jumps on the price and the volatility [8, 9] exist. The hy...
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Stochastic volatility and jumps are viewed as arising from Brownian subordination given here by an independent purely discontinuous process and we inquire into the relation between the realized variance or quadratic variation of the process and the time change. The class of models considered encompasses a wide range of models employed in practical ̄nancial modeling. It is shown that in general ...
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This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is correctly separated into its continuous and discontinuous component. To this purpose, we introduce the concept of threshold multipower variation (TMPV), which is based on the joint use of bip...
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Realized volatility of stock returns is often decomposed into two distinct components that are attributed to continuous price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard multivariate factor model for the continuous sample path to jointly forecast volatility in three Chinese Mainland stocks. Out of sample forecast analysis show...
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ژورنال
عنوان ژورنال: Review of Quantitative Finance and Accounting
سال: 2019
ISSN: 0924-865X,1573-7179
DOI: 10.1007/s11156-018-00788-y