Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility

The paper proposes a new class of continuous-time asset pricing models where negative jumps play a crucial role. Whenever there is a negative jump in asset returns, it is simultaneously passed on to diffusion variance and the jump intensity, generating self-exciting co-jumps of prices and volatility...

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Bibliographic Details
Main Authors: FULOP, Andras, LI, Junye, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/1325
https://ink.library.smu.edu.sg/context/soe_research/article/2324/viewcontent/Self_Exciting.pdf
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Institution: Singapore Management University
Language: English