The DOI matches its Crossref record; 58 of the 58 references it cites were found in a registry or an index.
An Empirical Investigation of Continuous‐Time Equity Return Models
Open accessAbstract
This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time‐varying intensity. We find that any reasonably descriptive continuous‐time model for equity‐index returns must allow for discrete jumps as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We also find that the dominant empirical characteristics of the return process appear to be priced by the option market. Our analysis indicates a general correspondence between the evidence extracted from daily equity‐index returns and the stylized features of the corresponding options market prices.
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Citations
Cites
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
A Theory of the Term Structure of Interest Rates
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985) · Econometrica · doi:10.2307/1911242 · Cited by 8,271
Option pricing when underlying stock returns are discontinuous
Merton, R. C. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90022-2 · Cited by 5,953
Numerical Solution of Stochastic Differential Equations
Kloeden, P. E., & Platen, E. (1992) · Springer eBooks · doi:10.1007/978-3-662-12616-5 · Cited by 5,060
Numerical solution of stochastic differential equations
(2016) · doi:10.5194/gmd-2016-45-rc1 · Cited by 5,002
Modeling and Forecasting Realized Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2003) · Econometrica · doi:10.1111/1468-0262.00418 · Cited by 3,863
Self-citationTransform Analysis and Asset Pricing for Affine Jump-diffusions
Duffie, D., Pan, J., & Singleton, K. J. (2000) · Econometrica · doi:10.1111/1468-0262.00164 · Cited by 2,712
Empirical Performance of Alternative Option Pricing Models
Bakshi, G., Cao, C., & Chen, Z. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02749.x · Cited by 2,707
Cited by
Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007) · Review of Economics and Statistics · doi:10.1162/rest.89.4.701 · Cited by 1,445
Self-citationDoes Net Buying Pressure Affect the Shape of Implied Volatility Functions?
Bollen, N. P. B., & Whaley, R. E. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00647.x · Cited by 987
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
Bakshi, G., & Kapadia, N. (2003) · Review of Financial Studies · doi:10.1093/rfs/hhg002 · Cited by 933
Alternative models for stock price dynamics
Chernov, M., Ronald Gallant, A., Ghysels, E., & Tauchen, G. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00108-8 · Cited by 889
The Relative Contribution of Jumps to Total Price Variance
Huang, X. (2005) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbi025 · Cited by 888
Metadata
- Authors
- Andersen, T. G., Benzoni, L., & Lund, J.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2002-06
- Volume
- 57
- Issue
- 3
- Pages
- 1239-1284
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2133334225
- Cited by
- 866
- References
- 58
- FWCI
- 60.11
- Type
- journal article
- Language
- en
- Open access
- bronze
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
