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An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets
16 references·2 citing·34 second hopsampled
An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets (2009)An empirical examination of jump risk in …A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesPower and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The valuation of options for alternative stochastic processes (1976)The valuation of options for …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach (2022)El Niño, La Niña, and forecas…Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda (2015)Emerging trends in Asia-Pacif…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Realized Variance and Market Microstructure Noise (2006)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Analysis of Financial Time Series (2006)A long memory property of stock market returns and a new model (1993)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)On estimating the expected return on the market (1980)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005

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Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
1,346 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • Cited by

    • 2015Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda42 cited
    • 2022El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach26 cited