Distributional Properties of Continuous Time Processes: From CIR to Bates

Détails

ID Serval
serval:BIB_B7B8F7ECBF32
Type
Non publié: un document ayant un auteur et un titre, mais non publié.
Collection
Publications
Institution
Titre
Distributional Properties of Continuous Time Processes: From CIR to Bates
Auteur⸱e⸱s
Okhrin Ostap, Rockinger Georg Michael, Schmid Manuel
Date de publication
25/03/2020
Langue
anglais
Notes
Working-paper
Résumé
We focus on returns defined as log-price differentials and generated by a diffusion process which incorporates stochastic volatility and jumps in prices. The jumps are properly compensated for this model. The stochastic volatility follows the well-known CIR process. We present general conditional and unconditional (co-)moment formulas for the solution of this process. By identifying these moments with those of a non-central chi-squared distribution, we derive distributional properties in a way that significantly differs from the historic approaches. Next, we derive the conditional and unconditional characteristic functions of log-returns which allows us to generate conditional and unconditional moments. We provide closed form expressions for the first four unconditional moments of log-returns.
Mots-clé
Higher moments, Distributional properties, Stochastic volatility, Jump diffusion, CIR process
Création de la notice
14/05/2022 6:17
Dernière modification de la notice
25/05/2022 5:36
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