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

DOI10.1080/02664763.2019.1581734OpenAlexW2917615764WikidataQ128355456 ScholiaQ128355456MaRDI QIDQ5034147FDOQ5034147

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

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

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)

Cites Work

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