Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets
In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to Februa...
Main Authors: | Hassan Zada, Arshad Hassan, Wing-Keung Wong |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-06-01
|
Series: | Economies |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7099/9/2/92 |
Similar Items
-
Financial Market Volatility and Jumps
by: Huang, Xin
Published: (2007) -
Pricing variance swaps under stochastic volatility and stochastic interest rate
by: Roslan, Teh Raihana Nazirah binti
Published: (2016) -
Forward Volatility Contract Pricing in the Brazilian Market
by: Sandro Magalhães Manteiga, et al.
Published: (2004-06-01) -
Modeling volatility for the Swedish stock market
by: Vega Ezpeleta, Emilio
Published: (2016) -
Pricing Variance Swaps in a Hybrid Model of Stochastic Volatility and Interest Rate With Regime-switching
Published: (2016)