Katja Ignatieva

• Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices

  Katja Ignatieva, Paulo Rodrigues et al.

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  This article investigates several crucial issues that arise when modeling equity returns with stochastic variance. (i) Does the model need to include jumps even when using a nonaffine variance specification? We find that jump models clearly outperform pure stochastic volatility models. (ii) How do affine variance specifications perform when compared to nonaffine models in a jump diffusion setup? We find that nonaffine specifications outperform af…

• Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices

  Katja Ignatieva, Paulo Rodrigues et al.

  Añadir item

  This article investigates several crucial issues that arise when modeling equity returns with stochastic variance. (i) Does the model need to include jumps even when using a nonaffine variance specification? We find that jump models clearly outperform pure stochastic volatility models. (ii) How do affine variance specifications perform when compared to nonaffine models in a jump diffusion setup? We find that nonaffine specifications outperform af…

Accounting (1 obra) · Affine transformation (1 obra) · Computer Science (1 obra) · Econometrics (1 obra) · Economics (1 obra) · Financial Markets and Investment Strategies (1 obra) · Financial Risk and Volatility Modeling (1 obra) · Jump (1 obra) · Jump diffusion (1 obra) · Mathematics (1 obra)