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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/135115

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/135115

Title:	Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?
Authors:	許永明 Yung-Ming Shiu Ging-Ginq Pan Tu-Cheng Wu
Contributors:	風管系
Keywords:	Volatility forecasting;Risk-neutral moments;Jumps
Date:	2022-01
Issue Date:	2021-05-25 11:50:50 (UTC+8)
Abstract:	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.
Relation:	Journal of Financial Markets, Vol.57, pp.1-15
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.finmar.2020.100614
DOI:	10.1016/j.finmar.2020.100614
Appears in Collections:	[風險管理與保險學系] 期刊論文

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