Katja Ignatieva
Biographic Data
| ID | 8920136 |
|---|---|
| NAME | Katja Ignatieva |
| GIVEN NAMES | Katja |
| FAMILY NAME | Ignatieva |
| SIGNATURE | IGNATIEVA K |
| AFFILIATIONS | UNSW Sydney |
| ORCID | 0000-0001-7472-5475 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2015 |
| LATEST PUBLICATION YEAR | 2015 |
| H-INDEX | 0 |
Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
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…
No prominent works on this page.
Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
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 work) · Affine transformation (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Markets and Investment Strategies (1 work) · Financial Risk and Volatility Modeling (1 work) · Jump (1 work) · Jump diffusion (1 work) · Mathematics (1 work)