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The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics

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  • In Kim
  • In-Seok Baek
  • Jaesun Noh
  • Sol Kim

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  • In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.
    • Handle: RePEc:kap:rqfnac:v:29:y:2007:i:1:p:69-110
    DOI: 10.1007/s11156-007-0022-2
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    Cited by:

    1. Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014. "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 751-779, November.
    2. Kim, Hong-bumm & Park, Jung-Ho & Lee, Seul Ki & Jang, SooCheong (Shawn), 2012. "Do expectations of future wealth increase outbound tourism? Evidence from Korea," Tourism Management, Elsevier, vol. 33(5), pages 1141-1147.
    3. Bing-Huei Lin & Mao-Wei Hung & Jr-Yan Wang & Ping-Da Wu, 2013. "A lattice model for option pricing under GARCH-jump processes," Review of Derivatives Research, Springer, vol. 16(3), pages 295-329, October.
    4. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 955-1002, May.
    5. Sol Kim & Geul Lee, 2017. "Lead–Lag Relationship Between Returns and Implied Moments: Evidence from KOSPI 200 Intraday Options Data," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-20, September.

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    More about this item

    Keywords

    Stochastic volatility model; Jump diffusion model; Efficient method of moments; Reprojection; Markov Chain Monte Carlo; Option pricing implications; C14; C15; C52; C53; G13;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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