Essec\Faculty\Model\Contribution {#2216
#_index: "academ_contributions"
#_id: "2478"
#_source: array:26 [
"id" => "2478"
"slug" => "self-exciting-jumps-learning-and-asset-pricing-implications"
"yearMonth" => "2015-03"
"year" => "2015"
"title" => "Self-Exciting Jumps, Learning, and Asset Pricing Implications"
"description" => "FULOP, A., LI, J. et JU, Y. (2015). Self-Exciting Jumps, Learning, and Asset Pricing Implications. <i>Review of Financial Studies</i>, 28(3), pp. 876-912."
"authors" => array:3 [
0 => array:3 [
"name" => "FULOP Andras"
"bid" => "B00072302"
"slug" => "fulop-andras"
]
1 => array:1 [
"name" => "LI Junye"
]
2 => array:1 [
"name" => "JU Y."
]
]
"ouvrage" => ""
"keywords" => array:8 [
0 => "Self-Excitation"
1 => "Jump Clustering"
2 => "Tail Behaviors"
3 => "Parameter Learning"
4 => "Sequential Bayes Factor"
5 => "Excess Volatility"
6 => "Volatility Forecasting"
7 => "Option Pricing"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "http://dx.doi.org/10.2139/ssrn.1981024"
"publicationInfo" => array:3 [
"pages" => "876-912"
"volume" => "28"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting, and option pricing."
"en" => "The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting, and option pricing."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-23T07:21:43.000Z"
"docTitle" => "Self-Exciting Jumps, Learning, and Asset Pricing Implications"
"docSurtitle" => "Journal articles"
"authorNames" => "<a href="/cv/fulop-andras">FULOP Andras</a>, LI Junye, JU Y."
"docDescription" => "<span class="document-property-authors">FULOP Andras, LI Junye, JU Y.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2015</span>"
"keywordList" => "<a href="#">Self-Excitation</a>, <a href="#">Jump Clustering</a>, <a href="#">Tail Behaviors</a>, <a href="#">Parameter Learning</a>, <a href="#">Sequential Bayes Factor</a>, <a href="#">Excess Volatility</a>, <a href="#">Volatility Forecasting</a>, <a href="#">Option Pricing</a>"
"docPreview" => "<b>Self-Exciting Jumps, Learning, and Asset Pricing Implications</b><br><span>2015-03 | Journal articles </span>"
"docType" => "research"
"publicationLink" => "<a href="http://dx.doi.org/10.2139/ssrn.1981024" target="_blank">Self-Exciting Jumps, Learning, and Asset Pricing Implications</a>"
]
+lang: "en"
+"_type": "_doc"
+"_score": 9.18932
+"parent": null
}
