Volatility Jumps
Bibliographic Data
| ID | 19418622 |
|---|---|
| Authors | Viktor Todorov (0000-0002-2360-7812, Northwestern University), George Tauchen (0000-0003-0518-3611, Duke University) |
| Year | 2011 |
| Volume | 29 |
| Issue | 3 |
| Pages | 356-371 |
| Publication date | 2011-07-01 |
| Peer Reviewed | Yes |
| 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 | 10.1198/jbes.2010.08342 |
| OpenAlex | W4241515853 |
| Language | EN |
| Citations received | 10 |
| References cited | 29 |
The article undertakes a nonparametric analysis of the high-frequency movements in stock market volatility using very finely sampled data on the VIX volatility index compiled from options data by the CBOE. We derive theoretically the link between pathwise properties of the latent spot volatility and the VIX index, such as presence of continuous martingale and/or jumps, and further show how to make statistical inference about them from the observed data. Our empirical results suggest that volatility is a pure jump process with jumps of infinite variation and activity close to that of a continuous martingale. Additional empirical work shows that jumps in volatility and price level in most cases occur together, are strongly dependent, and have opposite sign. The latter suggests that jumps are an important channel for generating leverage effect
Autoregressive conditional heteroskedasticity · Econometrics · Economics · Forward volatility · Jump · Leverage effect · Nonparametric statistics · Physics · Stochastic volatility · Volatility smile · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Mathematics · Stochastic processes and financial applications
On the Stochastic Properties of Carbon Futures Prices
On the Stochastic Properties of Carbon Futures Prices
Randomized Testing for Jump Detection
Local projection variance impulse response
Drift Bursts in Pure Jumps
The Variance Risk Premium
Estimating Jump Activity Using Multipower Variation
The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models
Disentangling Sources of High Frequency Market Microstructure Noise
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
| Unique citing works | 10 |
|---|---|
| Citations per year | 0.71 |
| Citation span | 2012 - 2026 (15) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 10 |