News arrival, jump dynamics, and volatility components for individual stock returns

Deskripsi

This paper models components of the return distribution, which are assumed to be directed by a latent news process. The conditional variance of returns is a combinaion of jumps and smoothly changing components. A heterogeneous poisson process with a time-varying conditional intensity parameter governs the likelihood of jumps. Unlike typical jump models with stochastic volatility, previous realizations of both jump and normal innovations can feed back asym .Printed Journal