Stochastic volatility jump-diffusions for European equity index dynamicsKaeck, A. and Alexander, C. (2013) Stochastic volatility jump-diffusions for European equity index dynamics. European Financial Management, 19 (3). pp. 470-496. ISSN 1468-036X Full text not archived in this repository. It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1111/j.1468-036X.2010.00613.x Abstract/SummaryMajor research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.
Altmetric Deposit Details University Staff: Request a correction | Centaur Editors: Update this record |
Lists
Lists
