TY  - JOUR
AU  - Andersen,Torben G.
AU  - Benzoni,Luca
AU  - Lund,Jesper
TI  - An Empirical Investigation of Continuous-Time Equity Return Models
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8510
PY  - 2001
Y2  - October 2001
UR  - http://www.nber.org/papers/w8510
L1  - http://www.nber.org/papers/w8510.pdf
N1  - Author contact info:
Torben G. Andersen
Kellogg School of Management
Northwestern University
2001 Sheridan Road
Evanston, IL  60208
Tel: 847/467-1285
Fax: 847/491-5719
E-Mail: t-andersen@kellogg.northwestern.edu

Luca Benzoni
Research Department
Federal Reserve Bank of Chicago
230 S. LaSalle Street
Chicago, IL  60604-1413
Tel: 312-322-8499
E-Mail: lbenzoni@frbchi.org
AB  - This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity.  We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We also find that the dominant empirical characteristics of the return process appear to be priced by the option market.  Our analysis indicates a general correspondence between the evidence extracted from daily equity-index returns and the stylized features of the corresponding options market prices.
ER  -