Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach

• Material Type: 文書・図像類
• Title: Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
• Author/Editor: Fulop, Andras; Li, Junye; Yu, Jun
• Author Heading: Fulop, Andras; Li, Junye; Yu, Jun
• Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
• Publication Date: 2012-12
• Publication Date (W3CDTF): 2012-12
• Contributor: 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
• Text Language Code: eng
• Subject Heading: Self-Excitation; Volatility Jump; Jump Clustering; Parameter Learning; Sequential Bayes Factor; Risk Management; Option Pricing; Volatility Forecasting
• Target Audience: 一般
• Note (General): December 2012; グローバルCOEプログラム = Global COE Program
• Format (IMT): application/pdf
• Source: fulltext; https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/25339/gd12-264.pdf
• Access Restrictions: インターネット公開
• Related Material (URI): URI; http://gcoe.ier.hit-u.ac.jp/english/index.html
• Periodical Title: Global COE Hi-Stat Discussion Paper Series ; No. 264
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources

• Summary, etc.: The paper proposes a new class of continuous-time asset pricing models where whenever there is a negative jump in asset returns, it is simultaneously ...