Self-Exciting Jumps, Learning, and Asset Pricing Implications

• Main Authors: FULOP, Andras, LI, Junye, YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Self-Excitation; Jump Clustering; Tail behaviors; Parameter Learning; Sequential Bayes Factor; Excess Volatility; Volatility Forecasting; Option Pricing; Econometrics; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/soe_research/1587; https://ink.library.smu.edu.sg/context/soe_research/article/2586/viewcontent/02_2014.pdf
• Institution: Singapore Management University

The paper proposes a self-exciting asset pricing model that takes into account cojumps between prices and volatility and self-exciting jump clustering. We employ a dence of self-exciting jump clustering since the 1987 market crash, and its importance Bayesian learning approach to implement real time...