This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We use estimation technology ...

Efficient Method of Moments is used to estimate and test continuous-time diffusion models for stock returns and interest rates. For stock returns, a four-state, two-factor diffusion with one state observed can account for ...

The papers in this volume represent the most recent advances in the intersection of the fields of financial econometrics and financial engineering. A collection of papers presented at a conference organized by the Guest ...

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focused primarily on pure jump processes with constant ...

The paper develops an approach for analyzing the dynamics of a nonlinear time series that is represented by a nonparametric estimate of its one-step ahead conditional density. The approach entails examination of conditional ...

The first part of the discussion reviews recent successes in modeling of discrete time financial data and argues that a direct approach is better suited than stochastic volatility. The second part reviews recent work on ...

This paper concerns the relationship between the variability of the daily price change and the daily volume of trading on the speculative markets. Our work extends the theory of speculative markets in two ways. First, we ...

estimates and examines the empirical plausibility of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, ...

We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that explicitly utilizes the ...

This article presents a solution algorithm for the capital growth model. The algorithm uses value-function iterations on a discrete state space. The quadrature method is used to set the grid for the exogenous process, and ...