A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
标普500日收益与已实现变差的离散时间模型：跳跃及杠杆效应
We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous-time components of price movements using nonparametric realized variation and Bipower variation measures constructed from high-frequency intraday data. The model setup allows us to directly assess the structural inter-dependencies among the shocks to returns and the two different volatility components. The model estimates…