A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps

DOI10.1080/02664763.2019.1581734MaRDI QIDQ5034147zbMATH OpenOpenAlexWikidataFDO

Authors Ourania Theodosiadou, Vassilis Polimenis, G. Tsaklidis

Publication date 24 February 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2019.1581734

zbMATH Keywords

central momentsvariance gammaasset returnsbeta coefficientshidden return jumps

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Applications of statistics (62Pxx) Estimation in multivariate analysis (62H12) Statistical methods; risk measures (91G70)

Recommendations

• Jumps and betas: a new framework for disentangling and estimating systematic risks
• Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index
• Jump Regressions
• Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
• Time-varying jump tails

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index
• Financial Modelling with Jump Processes
• Information arrival as price jumps
• Jumps and betas: a new framework for disentangling and estimating systematic risks
• Jumps in equilibrium prices and market microstructure noise
• Option Pricing With V. G. Martingale Components¹
• Option pricing when underlying stock returns are discontinuous
• Stationary-increment Student and variance-gamma processes
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing
• The jackknife and the bootstrap for general stationary observations
• The multivariate variance gamma model: basket option pricing and calibration
• The pricing of options and corporate liabilities
• Time changes for Lévy processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Zero covariation returns

Cited in

(3)

• Information arrival as price jumps
• Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index
• Jumps and betas: a new framework for disentangling and estimating systematic risks

This page was built for publication: A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5034147)