کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5088987 1478328 2014 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Out-of-sample density forecasts with affine jump diffusion models
ترجمه فارسی عنوان
پیش بینی تراکم خارج از مدل با مدل های انتشار پرش افقی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We conduct out-of-sample density forecast evaluations of the affine jump diffusion models for the S&P 500 stock index and its options' contracts. We also examine the time-series consistency between the model-implied spot volatilities using options & returns and only returns. In particular, we focus on the role of the time-varying jump risk premia. Particle filters are used to estimate the model-implied spot volatilities. We also propose the beta transformation approach for recursive parameter updating. Our empirical analysis shows that the inconsistencies between options & returns and only returns are resolved by the introduction of the time-varying jump risk premia. For density forecasts, the time-varying jump risk premia models dominate the other models in terms of likelihood criteria. We also find that for medium-term horizons, the beta transformation can weaken the systematic effect of misspecified AJD models using options & returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 47, October 2014, Pages 74-87
نویسندگان
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