Stochastic Volatility Jump‐Diffusions for European Equity Index Dynamics
研究了欧洲股票指数动态，发现其与S&P 500不同，可用含价格和波动跳跃的仿射模型或无跳跃的GARCH模型拟合，而S&P 500在跳跃扩散框架下更难捕捉。
Abstract Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump‐diffusion framework .