Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/61463
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Electronic and Information Engineering | en_US |
dc.creator | Li, G | en_US |
dc.creator | Zhang, C | en_US |
dc.date.accessioned | 2016-12-19T08:55:59Z | - |
dc.date.available | 2016-12-19T08:55:59Z | - |
dc.identifier.issn | 0927-5398 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/61463 | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | © 2016 Elsevier B.V. All rights reserved. | en_US |
dc.rights | © 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/. | en_US |
dc.rights | The following publication Li, G., & Zhang, C. (2016). On the relationship between conditional jump intensity and diffusive volatility. Journal of Empirical Finance, 37, 196-213 is available at https://doi.org/10.1016/j.jempfin.2016.04.001. | en_US |
dc.title | On the relationship between conditional jump intensity and diffusive volatility | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 196 | en_US |
dc.identifier.epage | 213 | en_US |
dc.identifier.volume | 37 | en_US |
dc.identifier.doi | 10.1016/j.jempfin.2016.04.001 | en_US |
dcterms.abstract | In standard options pricing models that include jump components to capture large price changes, the conditional jump intensity is typically specified as an increasing function of the diffusive volatility. We conduct model-free estimation and tests of the relationship between jump intensity and diffusive volatility. Simulation analysis confirms that the tests have power to reject the null hypothesis of no relationship if data are generated with the relationship. Applying the method to a few stock indexes and individual stocks, however, we find little evidence that jump intensity positively depends on diffusive volatility as a general property of the jump intensity. The findings of the paper give impetus to improving the specification of jump dynamics in options pricing models. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Journal of empirical Finance, June 2016, v. 37, p. 196-213 | en_US |
dcterms.isPartOf | Journal of empirical finance | en_US |
dcterms.issued | 2016-06 | - |
dc.identifier.isi | WOS:000377835700013 | - |
dc.identifier.scopus | 2-s2.0-84966355950 | - |
dc.identifier.rosgroupid | 2015005013 | - |
dc.description.ros | 2015-2016 > Academic research: refereed > Publication in refereed journal | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | a0606-n04 | - |
dc.identifier.SubFormID | 575 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.fundingText | HKUST 694013 | en_US |
dc.description.pubStatus | Published | en_US |
Appears in Collections: | Journal/Magazine Article |
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File | Description | Size | Format | |
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a0606-n04 JIDV3_2b.pdf | Pre-Published version | 910.43 kB | Adobe PDF | View/Open |
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