Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
研究了股票指数收益建模中，非仿射方差设定是否仍需包含跳跃，以及仿射与非仿射模型在跳跃扩散框架下的表现对比，发现跳跃模型优于纯随机波动模型，非仿射设定优于仿射模型。
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.