A continuous-time arbitrage-pricing model with stochastic volatility and jumps

被引：17

作者：

Ho, MS ^{[1
]}

Perraudin, WRM ^{[1
]}

Sorensen, BE ^{[1
]}

机构：

[1] UNIV CAMBRIDGE, DEPT ECON, CAMBRIDGE CB3 9DE, ENGLAND

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1996年 / 14卷 / 01期

关键词：

factor model; generalized method of moments; Martingale measure; time aggregation; stock-return distribution;

D O I：

10.2307/1392097

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We formulate and test a continuous-time asset-pricing model using U.S. equity market data. We assume that stock returns are driven by common factors including random jump-size Poisson processes and Brownian motions with stochastic volatility. The model places overidentifying restrictions on the mean returns, allowing one to identify risk-neutral probability distributions useful in pricing derivative securities. We test for the restrictions and decompose moments of the asset returns into the contributions made by different factors. Our econometric methods take full account of time aggregation.

引用

页码：31 / 43

页数：13

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[3]

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