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Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options

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  • Peter Christoffersen
  • Kris Jacobs
  • Chayawat Ornthanalai

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  • Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO.
    • Handle: RePEc:cir:cirwor:2009s-34
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    File URL: https://cirano.qc.ca/files/publications/2009s-34.pdf
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    Cited by:

    1. Tim Bollerslev & Viktor Todorov, 2011. "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
    2. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1530-1540, June.
    3. Matthew Lorig & Oriol Lozano-Carbass�, 2015. "Multiscale exponential L�vy-type models," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 91-100, January.
    4. Kaeck, Andreas, 2013. "Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1872-1888.
    5. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A family of density expansions for L\'evy-type processes," Papers 1312.7328, arXiv.org.
    6. Li, Junye, 2012. "Option-implied volatility factors and the cross-section of market risk premia," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 249-260.
    7. Andrey Itkin, 2023. "Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps," Papers 2308.08760, arXiv.org, revised Feb 2024.

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    More about this item

    Keywords

    compound Poisson process; option valuation; filtering; volatility jumps; jump risk premia; time-varying jump intensity; heteroskedasticity. ; processus composé de Poisson; évaluation du prix des options; filtrage; sauts liés à la volatilité; primes de risque de sauts; intensité des sauts variant dans le temps; hétéroscédasticité.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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