Econometric analysis of crude oil price dynamics using time series of option prices
本文用USO ETF的期权价格数据，建立包含多重随机波动、共同跳跃和自激跳跃强度的模型，并用准贝叶斯方法估计，发现多方差因子和跳跃自激对拟合和预测都很重要。
Abstract This paper investigates the dynamics of crude oil markets proxied by the USO ETF. Based on a preliminary analysis of the time series of implied volatility surfaces, we propose a model accounting for multiple stochastic volatilities, co-jumps, and self-exciting jump intensity. We estimate the model on a time series of option prices using a quasi-Bayesian methodology that exploits sequential Monte Carlo methods. We compare the performances of the proposed model with several nested and non-nested specifications. Our results show that both multiple variance factors and self-excitation in the jumps process are needed for accurate model fitting and to improve out-of-sample forecasting.