The Impact of Jumps in Volatility and Returns

By Bjørn Eraker, Michael Johannes, Nicholas G. Polson. 2003

1,209 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/3d060eb06147a432722adc34950aee0d2878f0e2

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Citations in the corpus

News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns (2004, positive): “(5)Glosten and Milgrom (1985) and Andersen (1996) develop a market microstructure model in which asymmetric information and liquidity requirements induce trades in response to information arrivals.”
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012, positive): “The return process is given by Rtþ1 log Stþ1 St ¼ rþ lz 1 2 hz,tþ1þðly xÞhy,tþ1 þztþ1þytþ1, ð1Þ 1 For other empirical estimates of jump processes in the SVJ literature using returns and/or options, see, for example, Bates (2000, 2006), Andersen, Benzoni, and Lund (2002), Pan (2002), Huang and Wu (20”
On the functional estimation of jump-diffusion models (2003, methodology): “Eraker et al. (2001) use Bayesian likelihood methods while Johannes (2003) advocates nonparametric techniques.”
Microstructure Noise, Realized Variance, and Optimal Sampling (2008, background): “2 For jumps in volatility, see Eraker et al. (2003) and the references therein.”
Robust numerical methods for contingent claims under jump diffusion processes (2005, methodology): “Among the candidates here are more general Lévy processes than the jump diffusion case, or multifactor models such as those recently explored by Eraker et al. (2003), which feature stochastic volatility with Poisson jumps in both the state variable itself and its volatility.”
A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, neutral): “Such models include those discussed in Bakshi et al. (1997), Bates (2000), Pan (2002), Chernov and Ghysels (2000), Eraker (2004), Carr et al. (2003), Eraker et al. (2003), and Broadie et al. (2007).”
Maximum Likelihood Estimation of Latent Affine Processes (2006, neutral): “By contrast, the SVJ0 parameter values were taken from Eraker et al (2003), in order to replicate their study of parameter estimation efficiency.”
Shrink Globally, Act Locally: Sparse Bayesian Regularization and Prediction (2012, background): “This approach, and similar ones, are well studied in mathematical finance, where the need to account for jumps in the movement of asset prices has long been recognized [e.g. Eraker et al., 2002].”
Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics (2011, neutral): “and Tauchen (2003), Eraker, Johannes, and Polson (2003) , Eraker (2004), and Maheu”