haku: @author Andersen, T.G. / yhteensä: 2
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| Tekijä: | Andersen, T.G. Benzoni, L. Lund, J. |
| Otsikko: | An empirical investigation of continuous-time equity return models |
| Lehti: | Journal of Finance
2002 : JUN, VOL. 57:3, p. 1239-1284 |
| Asiasana: | RETURN ON INVESTMENT STOCK MARKETS TIME VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. The authors find that any reasonably descriptive continous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. |
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