Further empirical evidence on stochastic volatility models with jumps in returns

González Urteaga, Ana

Publication:
Further empirical evidence on stochastic volatility models with jumps in returns

dc.contributor.author	González Urteaga, Ana
dc.contributor.department	Gestión de Empresas	es_ES
dc.contributor.department	Enpresen Kudeaketa	eu
dc.date.accessioned	2019-09-06T07:11:26Z
dc.date.available	2019-09-06T07:11:26Z
dc.date.issued	2012
dc.description.abstract	Using the Efficient Method of Moments we estimate a continuous time diffusion for the stochastic volatility of some international stock market indices that allows for possible jumps in returns. These jumps are needed for a sensible characterization of the dynamics of the distribution of returns, even under stochastic volatility. Although the stochastic volatility model with jumps in returns tends to exaggerate the negative skewness relative to the sample moments, the inclusion of jumps strongly improves the ability of the model to replicate sample kurtosis. This contrasts with the failure of the pure stochastic volatility model in generating high enough kurtosis. Our results extend the limited available evidence from the U.S. market to several European stock market indices.	en
dc.description.sponsorship	Financial support from the Spanish Ministry for Science and Innovation through grants SEJ2006-06309 and BES-2007-15631 is acknowledged.	en
dc.format.extent	24 p.
dc.format.mimetype	application/pdf	en
dc.identifier.doi	10.1016/j.srfe.2011.12.001
dc.identifier.issn	2173-1268
dc.identifier.uri	https://academica-e.unavarra.es/handle/2454/34749
dc.language.iso	eng	en
dc.publisher	Elsevier España, S.L.	en
dc.relation.ispartof	The Spanish Review of Financial Economics, Volume 10, Issue 1, January–June 2012, Pages 11-17	en
dc.relation.publisherversion	https://doi.org/10.1016/j.srfe.2011.12.001
dc.rights	© 2011. Asociación Española de Finanzas. The manuscript version is made available under the CC BY-NC-ND 4.0 license.	en
dc.rights.accessRights	info:eu-repo/semantics/openAccess
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject	Stochastic volatility	en
dc.subject	Jumps	en
dc.subject	Efficient Method of Moments (EMM)	en
dc.subject	SNP	en
dc.subject	Skewness	en
dc.subject	Kurtosis	en
dc.title	Further empirical evidence on stochastic volatility models with jumps in returns	en
dc.type	info:eu-repo/semantics/article
dc.type.version	info:eu-repo/semantics/acceptedVersion	en
dc.type.version	Versión aceptada / Onetsi den bertsioa	es
dspace.entity.type	Publication
relation.isAuthorOfPublication	095d724d-61c5-408c-b091-6ea37e9beb6b
relation.isAuthorOfPublication.latestForDiscovery	095d724d-61c5-408c-b091-6ea37e9beb6b