An empirical investigation of continuous-time equity return models

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Subfields: Finance

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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009, neutral): “The two-factor model on the other hand is not as restrictive, as is evident from (1) and (2).”
The information content of high-frequency data for estimating equity return models and forecasting risk (2010, background): “Our compound Poisson jump specification with normally distributed jump sizes draws on Andersen, Benzoni, and Lund (2002), Eraker, Johannes, and Polson (2003), and Johannes and Polson (2002).”
Time-Varying Jump Tails (2014, methodology): “, the empirical analysis in Andersen et al. (2007) building on the decompositions original developed by Barndorff-Nielsen and Shephard (2004, 2006).”
Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics (2006, neutral): “grossly misspecified (see Andersen, Benzoni and Lund (2002) , Bakshi, Cao, and Chen (2000),”
Robust numerical methods for contingent claims under jump diffusion processes (2005, background): “These include Bates (1991, 2000), Bakshi et al. (1997), Pan (2002), Andersen et al. (2002) , and Eraker et al. (2003) and references therein.”
Option Valuation with Long-run and Short-run Volatility Components (2008, neutral): “qt+1 = ω + ρqt + φ 3¡ z(2) t − 1 ¢− 2γ2phtzt ́ (6)”