An Empirical Investigation of Continuous‐Time Equity Return Models
扩展了资产收益的随机波动率扩散模型，加入时变强度的泊松跳跃，发现股票指数收益模型必须包含离散跳跃和波动率与收益创新之间的负相关关系，且这些特征在期权市场中被定价。
ABSTRACT 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.