U.S. stock market crash risk, 1926-2010

被引：56

作者：

Bates, David S. ^{[1
,2
]}

机构：

[1] Univ Iowa, Iowa City, IA 52242 USA

[2] Henry B Tippie Coll Business, Natl Bur Econ Res, Iowa City, IA 52242 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2012年 / 105卷 / 02期

关键词：

Levy processes; Time-changed Levy processes; Stock market crashes; Option pricing; STOCHASTIC VOLATILITY; SPECIFICATION ANALYSIS; TERM STRUCTURE; PRICES; MODEL; INFORMATION; VARIANCE; DYNAMICS; BEHAVIOR; RETURNS;

D O I：

10.1016/j.jfineco.2012.03.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines how well alternate time-changed Levy processes capture stochastic volatility and the substantial outliers observed in U.S. stock market returns over the past 85 years. The autocorrelation of daily stock market returns varies substantially over time, necessitating an additional state variable when analyzing historical data. I estimate various one- and two-factor stochastic volatility/Levy models with time-varying autocorrelation via extensions of the Bates (2006) methodology that provide filtered daily estimates of volatility and autocorrelation. The paper explores option pricing implications, including for the Volatility Index (VIX) during the recent financial crisis. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：229 / 259

页数：31

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