Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
Bibliographic Data
| ID | 19417469 |
|---|---|
| Authors | Katja Ignatieva (0000-0001-7472-5475, UNSW Sydney), Paulo Rodrigues (0000-0002-0328-2985), Paulo M M Rodrigues (0000-0002-6469-4959, Maastricht University), Norman Seeger (0000-0003-4606-1995, Vrije Universiteit Amsterdam) |
| Year | 2015 |
| Volume | 33 |
| Issue | 1 |
| Pages | 68-75 |
| Publication date | 2015-01-02 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2014.922471 |
| OpenAlex | W2119934241 |
| Language | EN |
| References cited | 29 |
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 affine models, even after including jumps
Affine transformation · Econometrics · Economics · Jump · Jump diffusion · Stochastic volatility · Computer Science · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Mathematics · Stochastic processes and financial applications · Accounting
| Highly cited | No |
|---|