User menu

A switching self-exciting jump diffusion process for stock prices

  • Open access
  • PDF
  • 948.46 K
  1. Alexander, S.S.: Price movements in speculative markets: trends or random walks. In: Cootner, 338–372 (1964)
  2. Andersen Torben G., Benzoni Luca, Lund Jesper, An Empirical Investigation of Continuous-Time Equity Return Models, 10.1111/1540-6261.00460
  3. Aït-Sahalia Yacine, Cacho-Diaz Julio, Laeven Roger J.A., Modeling financial contagion using mutually exciting jump processes, 10.1016/j.jfineco.2015.03.002
  4. Aït-Sahalia Yacine, Laeven Roger J.A., Pelizzon Loriana, Mutual excitation in Eurozone sovereign CDS, 10.1016/j.jeconom.2014.05.006
  5. Al-Anaswah Nael, Wilfling Bernd, Identification of speculative bubbles using state-space models with Markov-switching, 10.1016/j.jbankfin.2010.09.021
  6. Bates David S., Post-'87 crash fears in the S&P 500 futures option market, 10.1016/s0304-4076(99)00021-4
  7. Bollerslev Tim, Generalized autoregressive conditional heteroskedasticity, 10.1016/0304-4076(86)90063-1
  8. BOYARCHENKO MITYA, BOYARCHENKO SVETLANA, DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS, 10.1142/s0219024911006620
  9. Boyarchenko Svetlana, Levendorskii Sergei, American Options in Regime-Switching Models, 10.1137/070682897
  10. Calvet Laurent, Fisher Adlai, Forecasting multifractal volatility, 10.1016/s0304-4076(01)00069-0
  11. Calvet L. E., How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes, 10.1093/jjfinec/nbh003
  12. Carr Peter, Madan Dilip, Option valuation using the fast Fourier transform, 10.21314/jcf.1999.043
  13. Carr P., Wu L.: Leverage effect, volatility feedback, and self-exciting market disruptions. J Financ Quant Anal (forthcoming) (2016)
  14. Chen, K., Poon, S.-H.: Variance swap premium under stochastic volatility and self-exciting jumps. Working paper SSRN-id2200172 (2013)
  15. Chevallier Julien, Goutte Stéphane, Detecting jumps and regime switches in international stock markets returns, 10.1080/13504851.2014.995356
  16. Chollete L., Heinen A., Valdesogo A., Modeling International Financial Returns with a Multivariate Regime-switching Copula, 10.1093/jjfinec/nbp014
  17. Chopin N., Jacob P. E., Papaspiliopoulos O., SMC2: an efficient algorithm for sequential analysis of state space models : Sequential Analysis of State Space Models, 10.1111/j.1467-9868.2012.01046.x
  18. Cont, R., Tankov, P.: Financial modelling with jump processes. Chapman & Hall/CRC Financial Mathematics Series (2004)
  19. Doucet, A., De Freitas, J.F.G., Gordon, N.: Sequential Monte Carlo Methods in Practice. Cambridge University Press, Cambridge (2000)
  20. Duffie Darrell, Singleton Kenneth J., Simulated Moments Estimation of Markov Models of Asset Prices, 10.2307/2951768
  21. Duffie Darrell, Pan Jun, Singleton Kenneth, Transform Analysis and Asset Pricing for Affine Jump-diffusions, 10.1111/1468-0262.00164
  22. Elliott, R.J., Aggoun, L., Moore, J.B.: Hidden Markov Models: Estimation and Control. Springer, New York (1995)
  23. Elliott Robert J., Chan Leunglung, Siu Tak Kuen, Option pricing and Esscher transform under regime switching, 10.1007/s10436-005-0013-z
  24. Elliott Robert J., Siu Tak Kuen, Chan Leunglung, Lau John W., Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model, 10.1080/07362990701420118
  25. Embrechts, P., Liniger, T., Lu, L.: Multivariate Hawkes processes: an application to financial data. J Appl Probab 48(A), 367–378 (2011)
  26. Engle Robert F., Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, 10.2307/1912773
  27. Eraker Bjørn, Johannes Michael, Polson Nicholas, The Impact of Jumps in Volatility and Returns, 10.1111/1540-6261.00566
  28. Evans Kevin P., Intraday jumps and US macroeconomic news announcements, 10.1016/j.jbankfin.2011.02.018
  29. Fulop Andras, Li Junye, Efficient learning via simulation: A marginalized resample-move approach, 10.1016/j.jeconom.2013.05.002
  30. Duan Jin-Chuan, Fulop Andras, Density-Tempered Marginalized Sequential Monte Carlo Samplers, 10.1080/07350015.2014.940081
  31. Gallant A. Ronald, Tauchen George, Which Moments to Match?, 10.1017/s0266466600006976
  32. Gourieroux, C., Monfort, A., Renault, E.: Indirect inference. J Appl. Econom 8, S85–S118 (1993)
  33. Fulop Andras, Li Junye, Yu Jun, Self-Exciting Jumps, Learning, and Asset Pricing Implications, 10.1093/rfs/hhu078
  34. Gerber, H.U., Shiu, E.S.W.: Options pricing by Esscher transform. Trans Soc Actuaries 26, 99–191 (1994)
  35. Guidolin, M., Timmermann, A.: Economic implications of bull and bear regimes in UK stock and bond returns. Econom J 115, 11–143 (2005)
  36. Guidolin Massimo, Timmermann Allan, Asset allocation under multivariate regime switching, 10.1016/j.jedc.2006.12.004
  37. Guidolin Massimo, Timmermann Allan, International asset allocation under regime switching, skew, and kurtosis preferences, 10.1093/rfs/hhn006
  38. Hainaut Donatien, A model for interest rates with clustering effects, 10.1080/14697688.2015.1135251
  39. Hainaut Donatien, MacGilchrist Renaud, Strategic asset allocation with switching dependence, 10.1007/s10436-011-0183-9
  40. Hainaut, D., Moraux, F.: Hedging of options in the presence of jump clustering. J Comput Finance 22(3), 1–35 (2018)
  41. Hamilton James D., A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, 10.2307/1912559
  42. Hardy Mary R., A Regime-Switching Model of Long-Term Stock Returns, 10.1080/10920277.2001.10595984
  43. Hawkes, A.: Point sprectra of some mutually exciting point processes. J R Stat Soc Ser B 33, 438–443 (1971)
  44. HAWKES ALAN G., Spectra of some self-exciting and mutually exciting point processes, 10.1093/biomet/58.1.83
  45. Hawkes Alan G., Oakes David, A cluster process representation of a self-exciting process, 10.2307/3212693
  46. Kalman R. E., A New Approach to Linear Filtering and Prediction Problems, 10.1115/1.3662552
  47. Kelly Frank, Yudovina Elena, A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies, 10.1287/moor.2017.0857
  48. Kou S. G., A Jump-Diffusion Model for Option Pricing, 10.1287/mnsc.48.8.1086.166
  49. Kyle Albert S., Continuous Auctions and Insider Trading, 10.2307/1913210
  50. Lee Suzanne S., Mykland Per A., Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics, 10.1093/rfs/hhm056
  51. Chan Wing H, Maheu John M, Conditional Jump Dynamics in Stock Market Returns, 10.1198/073500102288618513
  52. Maheu John M., McCurdy Thomas H., News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns, 10.1111/j.1540-6261.2004.00648.x
  53. Mandelbrot Benoit, The Variation of Certain Speculative Prices, 10.1086/294632
  54. Merton Robert C., Option pricing when underlying stock returns are discontinuous, 10.1016/0304-405x(76)90022-2
  55. Nakajima, J.: Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns. Stud Nonlinear Dyn Econom 17(5), 499–520 (2013)
  56. Osborne M. F. M., Brownian Motion in the Stock Market, 10.1287/opre.7.2.145
  57. Protter Philip E., Stochastic Integration and Differential Equations, ISBN:9783642055607, 10.1007/978-3-662-10061-5
  58. Schoutens Wim, Lévy Processes in Finance, ISBN:0470851562, 10.1002/0470870230
  59. Shen Yang, Fan Kun, Siu Tak Kuen, Option Valuation Under a Double Regime-Switching Model : Double Regime-Switching Models, 10.1002/fut.21613
  60. Siu Tak Kuen, A self-exciting threshold jump–diffusion model for option valuation, 10.1016/j.insmatheco.2016.05.008
  61. Wang Ting, Bebbington Mark, Harte David, Markov-modulated Hawkes process with stepwise decay, 10.1007/s10463-010-0320-7
Bibliographic reference Hainaut, Donatien ; Moraux, Franck. A switching self-exciting jump diffusion process for stock prices. ISBA Discussion Paper ; 2018/13 (2018) 36 pages
Permanent URL http://hdl.handle.net/2078.1/199014