Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes
在纯跳跃模型框架下研究股市崩盘与反弹的结构，实证发现崩盘比反弹更严重且到达率更高，极端事件符合Fréchet极限定律，并识别出能较好描述尾部性质的纯跳跃模型。
This article studies the structure of stock market crashes, rallies, their jump arrival rates, and extremes. Large market moves are characterized in a pure-jump modeling framework. Based on both raw and devolatized returns, it is shown empirically that crashes are more severe in intensity than rallies, and have higher arrival rates. At the same time, both left-tail and right-tail extreme events conform with Fréchet limit laws. Pure-jump models which describe well the tail properties of market returns are identified via their Lévy measures. The distribution of extreme events implied by our model's Lévy measure is closer to the actual realization of extremes than those of competing models. Finally, there is information content in the Lévy measure of pure-jump models for forward arrival rate of jumps.