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題名：Testing for Jumps in Prices under Jump-driven Leverage Effect in Stochastic Volatility: An Empirical and Simulation Study
書刊名：期貨與選擇權學刊
作者：蔡秉真
作者(外文)：Tsai, Ping-chen
出版日期：2020
卷期：13:2
頁次：頁1-50
主題關鍵詞：不對稱效果；隨機波動模型；價格跳躍檢測；高頻交易數據；Leverage effect；Stochastic volatility；Jump test；High-frequency data
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  • 點閱點閱:5
期刊論文
1.Chen, X.、Ghysels, E.(2011)。News--Good or Bad--and its impact on volatility predictions over multiple horizons。Review of Financial Studies，24(1)，46-81。  new window
2.Azzalini, A.、Capitanio, A.(2003)。Distributions Generated by Perturbation of Symmetry With Emphasis on a Multivariate Skew t-Distribution。Journal of the Royal Statistical Society: Series B (Statistical Methodology)，65(2)，367-389。  new window
3.Firth, D.(1988)。Multiplicative Errors: Log-Normal or Gamma?。Journal of the Royal Statistical Society, Series B，50(2)，266-268。  new window
4.Barndorff-Nielsen, Ole E.、Shephard, Neil(2001)。Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of Their Uses in Financial Economics (with Discussion)。Journal of the Royal Statistical Society: Series B，63(2)，167-241。  new window
5.Barndorff-Nielsen, Ole E.、Hansen, Peter Reinhard、Lunde, Asger、Shephard, Neil(2009)。Realized kernels in practice: trades and quotes。Econometrics Journal，12(3)，C1-C32。  new window
6.Hansen, Peter Reinhard、Huang, Zhuo、Shek, Howard Howan(2012)。Realized GARCH: A Joint Model for Returns and Realized Measures of Volatility。Journal of Applied Econometrics，27(6)，877-906。  new window
7.Eraker, Bjørn、Johannes, Michael、Polson, Nicholas(2003)。The impact of jumps in volatility and returns。Journal of Finance，58(3)，1269-1300。  new window
8.Granger, C. W. J.(1980)。Long memory relationships and the aggregation of dynamic models。Journal of Econometrics，14(2)，227-238。  new window
9.Barndorff-Nielsen, Ole E.、Shephard, Neil(2006)。Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation。Journal of Financial Econometrics，4(1)，1-30。  new window
10.Gallant, A. R.、Hsu, C. T.、Tauchen, G.(1999)。Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance。Review of Economics and Statistics，81(4)，617-631。  new window
11.Aït-Sahalia, Y.、Jacod, J.(2009)。Testing for Jumps in a Discretely Observed Process。Annals of Statistics，37(1)，184-222。  new window
12.Andersen, Torben G.、Bollerslev, Tim、Dobrev, Dobrislav(2007)。No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications。Journal of Econometrics，138(1)，125-180。  new window
13.Lee, Suzanne S.、Mykland, Per A.(2008)。Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics。Review of Financial Studies，21(6)，2535-2563。  new window
14.Patton, A. J.、Sheppard, K.(2015)。Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility。The Review of Economics and Statistics，97(3)，683-697。  new window
15.Corsi, Fulvio(2009)。A simple approximate long-memory model of realized volatility。Journal of Financial Econometrics，7(2)，174-196。  new window
16.Pong, Shiuyan、Shackleton, Mark B.、Taylor, Stephen J.、Xu, Xinzhong(2004)。Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models。Journal of Banking and Finance，28，2541-2563。  new window
17.Liu, C.、Maheu, J. M.(2009)。Forecasting realized volatility: a Bayesian model-averaging approach。Journal of Applied Econometrics，24(5)，709-733。  new window
18.Easley, David、López de Prado, Marcos M.、O'Hara, Maureen(2011)。The Microstructure of the 'Flash Crash': Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading。The Journal of Portfolio Management，37(2)，118-128。  new window
19.Aït-Sahalia, Y.、Fan, J.、Laeven, R. J. A.、Wang, C. D.、Yang, X.(2017)。Estimation of the Continuous and Discontinuous Leverage Effects。Journal of the American Statistical Association，112，1744-1758。  new window
20.Aït-Sahalia, Y.、Fan, J.、Li, Y.(2013)。The leverage effect puzzle: Disentangling sources of bias at high frequency。Journal of Financial Economics，109，224-249。  new window
21.Andersen, T. G.、Bondarenko, O.(2014)。VPIN and the Flash Crash。Journal of Financial Markets，17，1-46。  new window
22.Bandi, F. M.、Renò, R.(2016)。Price and Volatility Co-Jumps。Journal of Financial Economics，119，107-146。  new window
23.Boudt, Kris、Croux, Christophe、Laurent, Sébastien(2011)。Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection。Journal of Empirical Finance，18，353-367。  new window
24.Bibinger, M.、Winkelmann, L.(2018)。Common Price and Volatility Jumps in Noisy High-Frequency Data。Electronic Journal of Statistics，12，2018-2073。  new window
25.Corsi, F.、Pirino, D.、Renò, R.(2010)。Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting。Journal of Econometrics，159，276-288。  new window
26.Dumitru, A.-M.、Urga, G.(2012)。Identifying Jumps in Financial Assets: A Comparison between Nonparametric Jump Tests。Journal of Business & Economic Statistics，30，242-255。  new window
27.Gander, M. P. S.、Stephens, D. A.(2007)。Simulation and Inference for Stochastic Volatility Models Driven by Lévy Processes。Biometrika，94，627-646。  new window
28.Gilder, D.、Shackleton, M. B.、Taylor, S. J.(2013)。Cojumps in Stock Prices: Empirical Evidence。Journal of Banking & Finance，40，443-459。  new window
29.Gourieroux, C.、Jasiak, J.(2006)。Autoregressive Gamma Processes。Journal of Forecasting，25，129-152。  new window
30.Jacod, J.、Klüppelberg, C.、Müller, G.(2013)。Functional Relationships between Price and Volatility Jumps and Their Consequences for Discretely Observed Data。Journal of Applied Probability，49，901-914。  new window
31.Jacod, J.、Klüppelberg, C.、Müller, G.(2017)。Testing for Non-Correlation between Price and Volatility Jumps。Journal of Econometrics，197，284-311。  new window
32.Jacod, J.、Todorov, V.(2010)。Do Price and Volatility Jump Together?。The Annals of Applied Probability，20，1425-1469。  new window
33.Kundu, D.、Manglick, A.(2005)。Discriminating Between The Log-normal and Gamma Distributions。Journal of the Applied Statistical Sciences，14，175-187。  new window
34.Koopman, S. J.、Scharth, M.(2012)。The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures。Journal of Financial Econometrics，11，76-115。  new window
35.Jongbloed, G.、van der Meulen, F. H.、van der Vaart, A. W.(2005)。Nonparametric Inference for Lévy-Driven Ornstein: Uhlenbeck Processes。Bernoulli，11，759-791。  new window
36.Todorov, V.(2011)。Econometric Analysis of Jump-Driven Stochastic Volatility Models。Journal of Econometrics，160，12-21。  new window
37.Sim, C. H.(1990)。First-Order Autoregressive Models for Gamma and Exponential Processes。Journal of Applied Probability，27，325-332。  new window
38.Roberts, G. O.、Papaspiliopoulos, O.、Dellaportas, P.(2004)。Bayesian Inference for Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Processes。Journal of the Royal Statistical Society，66，369-393。  new window
39.Maneesoonthorn, W.、Forbes, C. S.、Martin, G. M.(2017)。Inference on Self-Exciting Jumps in Prices and Volatility Using High-Frequency Measures。Journal of Applied Econometrics，32，504-532。  new window
40.Mancini, C.(2009)。Non-Parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps。Scandinavian Journal of Statistics，36，270-296。  new window
41.Mancini, C.(2004)。Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model。Scandinavian Actuarial Journal，1，42-52。  new window
42.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The Distribution of Realised Stock Return Volatility。Journal of Financial Economics，61(1)，43-76。  new window
43.Barndorff-Nielsen, Ole E.、Shephard, Neil(2004)。Power and bipower variation with stochastic volatility and jumps。Journal of Financial Econometrics，2(1)，1-37。  new window
44.Engle, R. F.、Gallo, G. M.(2006)。A Multiple-indicators Model for Volatility Using Intra-daily Data。Journal of Econometrics，131(1/2)，3-27。  new window
45.de Lima, P.、Breidt, F. J.、Crato, N.(1998)。The Detection and Estimation of Long Memory in Stochastic Volatility。Journal of Econometrics，83(1/2)，325-348。  new window
46.Barndorff-Nielsen, Ole E.、Graversen, Svend Erik、Jacod, Jean、Shephard, Neil(2006)。Limit theorems for bipower variation in financial econometrics。Econometric Theory，22，677-719。  new window
研究報告
1.Bibinger, M.、Neely, C.、Winkelmann, L.(2017)。Estimation of the Discontinuous Leverage Effect: Evidence from the NASDAQ Order Book。Philipps University of Marburg。  new window
2.Ferriani, F.、Zoi, P.(2017)。The Dynamics of Price Jumps in the Stock Market: An Empirical Study on Europe and U.S.。Bank of Italy。  new window
3.Li, J.(2013)。Testing for Jumps: A Delta-Hedging Perspective。University of Princeton。  new window
圖書
1.Taylor, Stephen J.(2005)。Asset Price Dynamics, Volatility and Prediction。Princeton University Press。  new window
2.Cont, R.、Tankov, P.(2004)。Financial modeling with jump processes。CRC Press。  new window
3.Coles, S. G.(2001)。An Introduction to Statistical Modeling of Extreme Values。London：Springer-Verlag。  new window
4.Aït-Sahalia, Y.、Jacod, J.(2014)。High-Frequency Financial Econometrics。Princeton University Press。  new window
5.Daley, D. J.、Vere-Jones, D.(2003)。An Introduction to the Theory of Point Processes。New York：Springer。  new window
6.Granger, C. W. J.、Newbold, P.(1977)。Forecasting Economic Time Series。Chicoutimi：G. Morin。  new window
圖書論文
1.Tsai, Ping-Chen、Shackleton, Mark B.(2016)。Detecting Jumps in High-Frequency Prices under Stochastic Volatility: A Data-Driven Approach。Handbook of High-Frequency Trading and Modeling in Finance。Hoboken, New Jersey：John Wiley & Sons, Inc.。  new window
 
 
 
 
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