A Continuous-Time Arbitrage-Pricing Model with Stochastic Volatility and Jumps
The authors formulate and test a continuous time asset pricing model using U.S. equity market data. They assume that stock returns are driven by common factors including random jump-size Poisson processes and Brownian motions with stochastic volatility. The model places over-identifying restrictions on the mean returns allowing one to identify risk neutral probability distributions useful in pricing derivative securities. The authors test for the restrictions and decompose moments of the asset returns into the contributions made by different factors. Their econometric methods take full account of time aggregation.
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Volume (Year): 14 (1996)
Issue (Month): 1 (January)
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