کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
999016 | 1481640 | 2012 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Further empirical evidence on stochastic volatility models with jumps in returns
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
Using the Efficient Method of Moments we estimate a continuous time diffusion for the stochastic volatility of some international stock market indices that allows for possible jumps in returns. These jumps are needed for a sensible characterization of the dynamics of the distribution of returns, even under stochastic volatility. Although the stochastic volatility model with jumps in returns tends to exaggerate the negative skewness relative to the sample moments, the inclusion of jumps strongly improves the ability of the model to replicate sample kurtosis. This contrasts with the failure of the pure stochastic volatility model in generating high enough kurtosis. Our results extend the limited available evidence from the U.S. market to several European stock market indices.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Spanish Review of Financial Economics - Volume 10, Issue 1, JanuaryâJune 2012, Pages 11-17
Journal: The Spanish Review of Financial Economics - Volume 10, Issue 1, JanuaryâJune 2012, Pages 11-17
نویسندگان
Ana González-Urteaga,