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

• Main Authors: FULOP, Andras, LI, Junye, YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2012
• Subjects: Self-Excitation; Volatility Jump; Jump Clustering; Extreme Events; Parameter Learning; Particle Filters; Sequential Bayes Factor; Risk Management; Econometrics
• 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
• Institution: Singapore Management University

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...