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https://ah.lib.nccu.edu.tw/handle/140.119/135115
題名: | Can risk-neutral skewness and kurtosis subsume the information content of historical jumps? | 作者: | 許永明 Yung-Ming Shiu Ging-Ginq Pan Tu-Cheng Wu |
貢獻者: | 風管系 | 關鍵詞: | Volatility forecasting ; Risk-neutral moments ; Jumps | 日期: | Jan-2022 | 上傳時間: | 25-May-2021 | 摘要: | We examine the relation between jump variations and risk-neutral moments in volatility forecasting. We propose a method that involves no extrapolation in computing the risk-neutral moments of Bakshi et al. (2003) and document that risk-neutral skewness and kurtosis subsume the information content of historical jumps. While historical jumps have significant explanatory power for future volatility and such power is actually not weakened by the inclusion of risk-neutral volatility in models, their predictability does disappear when risk-neutral skewness and kurtosis are included. | 關聯: | Journal of Financial Markets, Vol.57, pp.1-15 | 資料類型: | article | DOI: | https://doi.org/10.1016/j.finmar.2020.100614 |
Appears in Collections: | 期刊論文 |
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