The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models

By Michael Johannes. 2004

493 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/575822ef2aea7b833b6d22b61a675d119515e838

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Citations in the corpus

Detecting Jumps from Levy Jump Diffusion Processes (2010, background): “However, we 1 See Merton (1976), Bakshi, Cao, and Chen (1997), Andersen, Benzoni, and Lund (2002), Duffie, Pan, and Singleton (2000), Aı̈t-Sahalia (2002), Chernov, Gallant, Ghysels, and Tauchen (2003), Johannes (2004), Piazzesi (2003), and Pan (2002).”
Model Specification and Risk Premia: Evidence from Futures Options (2007, result): “Our approach is similar in spirit to those implemented in Pan (2002), Johannes (2004), and Jones 10 The constraint on κvθ v has little effect as the long-run level of volatility and the speed of mean reversion are both second-order effects on options prices and implied volatilities over the…”
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009, unknown): “See for example Johannes (2004).”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, background): “…and McCurdy (2004); Bollerslev et al. (2009); Andersen et al. (2007); nonparametric estimation in the presence of jumps, as in Bandi and Nguyen (2003); Johannes (2004); Mancini and Renò (2009); option pricing as in Duffie et al. (2000); Eraker et al. (2003); Eraker (2004); applications to bond…”
On the functional estimation of jump-diffusion models (2003, methodology): “(12)–(14). We study the estimators for M1(a), M2(a) and Mk (a) with k? 2 suggested by Johannes (2003) .”
Bond Yields and the Federal Reserve (2005, background): “Most empirical papers on monetary policy focus on the short-rate process alone (Das 2002; Hamilton and Jorda 2002; Johannes 2004).”
Jump detection with wavelets for high-frequency financial time series (2014, methodology): “Fan and Wang (2007) used the localization property of wavelet expansion to detect jumps.”
Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2008, background): “…proved the existence of jumps and their substantial impact on financial management, from portfolio and risk management to option and bond pricing and hedging (see Merton, 1976; Bakshi et al., 1997, 2000; Bates, 1996; Liu et al., 2003; Naik and Lee, 1990; Duffie et al., 2000, and Johannes, 2004).”
Leverage and Volatility Feedback Effects in High-Frequency Data (2006, background): “18 The incorporation of discontinuous discrete jumps, as in, for example, Andersen, Benzoni, and Lund (2002) and Eraker, Johannes, and Polson (2003), affords an alternative approach for breaking this link. 19 The analysis in Gallant, Hsu, and Tauchen (1999) also suggests that the two-factor stochast”
Modeling financial contagion using mutually exciting jump processes (2015, unknown): “Indeed, alternative models exist with state-dependent jump intensities, generating time-variation in the arrival rate of jumps; see, e.g., Bates (2000), Pan (2002), Eraker (2004) and Johannes (2004).”