【摘 要】
：
Volatility of financial assets prices is the important component in asset pricing and financial risk management,and jump is the discontinuous parts in the v
【机 构】
：
AppliedEconomicsPostdoctoralResearchStation,Xi'anJiaotongUniversityEconomicsandFinanceInstitute,Xi
论文部分内容阅读
Volatility of financial assets prices is the important component in asset pricing and financial risk management,and jump is the discontinuous parts in the volatility of assets returns,and the risk for jump in volatility is hard to hedge by financial instruments.Based on jump diffusion continuous time volatility models,we explore the dynamic time series features of high frequency financial returns of stock indices in Shanghai and Shenzhen stock markets.The statistical results show that the volatility for stock indices returns has different jump dynamic features in different periods of stock development.Compared with prosperous period in bull markets,the frequency of jumps in stock indices volatility are bigger in depression period in bear markets,furthermore,the sizes and contribution of jumps to stock indices volatility are larger,and the jumps are more subtle to the national macroeconomic polices,therefore,the exploration for the jumps dynamics in financial cycles is especially helpful for financial risk management.
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