| 杂志 | Australian Journal of Manageme
2014, Vol. 39(3) 369– 394 |
| 作者 | Kent Wang, Yuqiang Guo |
| 正文 | This study supplies new evidence regarding the predictive power of jumps for conditional market returns
and volatilities. We change the constant jump intensity as in the Liu et al. and Du models with time-varying
intensity following an autoregressive conditional jump intensity process and a squared Bessel process, and
apply calibrated jump premiums to predict excess market returns and volatilities. We show that all calibrated
jump premiums have significant predictive power in-sample and out-of-sample. We find that in the US
market Liu et al.’s model forecasts excess returns and volatilities better. The autoregressive conditional
jump intensity process of jump intensity predicts excess returns better, and the squared bessel process
forecasts volatilities better. In the Australian market we find that the model with autoregressive conditional
jump intensity process of jump intensity predicts Australian market returns and volatilities better. |
| JEL-Codes： | C13; C14; G10; G12 |
| 关键词： | Equity premium, jump intensity, jump premium, stock return predictability, volatility predictability |
