Self-exciting jumps, learning, and asset pricing implications
The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2015
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2356 https://ink.library.smu.edu.sg/context/soe_research/article/3355/viewcontent/Self_exciting_jumps_2015_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |