Empirical Asset Pricing with Nonlinear Risk Premia
Empirical Asset Pricing with Nonlinear Risk Premia
复制标题
非线性风险溢价的经验资产定价
DOI：
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发表时间：
2009
期刊：
影响因子：
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通讯作者：
P. Schneider
中科院分区：
文献类型：
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作者：
A. Mijatović;P. Schneider
在本文中，我们介绍了一个简单的连续时间资产定价框架，该框架基于一般多维扩散过程，将半分析定价与风险市场价格的非线性规范相结合。我们的框架保证了弱解的存在性的非线性SDES的物理措施下，从而允许工作的非线性模型的真实的世界的动力学文献中没有考虑到。它出现的额外的灵活性，在时间序列建模是计量经济学相关的：一个非线性随机波动扩散模型的联合时间序列的标准普尔100指数和VXO隐含波动率指数数据显示上级预测能力超过标准规格的隐含和实现的方差预测。
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our framework guarantees existence of weak solutions of the nonlinear SDEs under the physical measure, thus allowing to work with nonlinear models for the real world dynamics not considered in the literature so far. It emerges that the additional flexibility in the time series modelling is econometrically relevant: a nonlinear stochastic volatility diffusion model for the joint time series of the S&P 100 and the VXO implied volatility index data shows superior forecasting power over the standard specifications for implied and realized variance forecasting.