Andersen, T., L. Benzoni, and J. Lund (2001). An empirical investigation of continuous-time equity returns models. Journal of Finance, forthcoming. Home/Search Document Not in Database Summary Related Articles Check |
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Jump-Diffusion Stock-Return Model with Weighted Fitting of.. - Hanson, Westman (Correct)
....than a unweighted estimate. Hence, the results of this paper subsumes the earlier paper by giving more emphasis to detecting the jump part of the distribution. In particular, this paper treats the log normal diffusion, log uniform jump problem. In a recent paper, Andersen, Benzoni and Lund [1] have investigated jump diffusion models coupled with a stochastic volatility model including correlated noise. The authors wish to thank a reviewer for pointing out this new paper. They achieve very good results using very powerful moment estimation methods with skew and kurtosis values that ....
....are obvious numerical difficulties in trying to reproduce statistical moments as high as third and fourth order, due to limitations on well conditioning the calculation against catastrophic cancellation. Another source of discrepancies is implied by the recent paper of Andersen, Benzoni and Lund [1] that makes a convincing case of the importance of the stochasticity of the volatility, where the volatility is a deterministic function of time in our relatively simpler model. Table 4: Summary of yearly coefficients of skewness, # 3 , and kurtosis less the normal value, # 4 3, for both the ....
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Andersen, T. G., L. Benzoni, and J. Lund, "An Empirical Investigation of Continuous-Time Equity Return Models," J. Finance, vol. 57(3) (2002), pp. 1239-1284.
A Class of Nonlinear Stochastic Volatility Models and Its.. - Yu, Yang, Zhang (2002) (Correct)
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Andersen, T., L. Benzoni, and J. Lund (2001). An empirical investigation of continuous-time equity returns models. Journal of Finance, forthcoming.
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