Yoontae Jeon - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T06:02:04+00:00Time-Varying Crash Risk: The Role of Stock Market Liquidity
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-35/
We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.2016-07-22T13:04:46+00:00enTime-Varying Crash Risk: The Role of Stock Market Liquidity2016-07-22Asset pricingEconometric and statistical methodsFinancial stabilityStaff Working Paper 2016-35https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-35.pdfTime-Varying Crash Risk: The Role of Stock Market LiquidityPeter ChristoffersenBruno FeunouYoontae JeonChayawat OrnthanalaiJuly 2016GG0G01G1G12Option Valuation with Observable Volatility and Jump Dynamics
https://www.bankofcanada.ca/2015/11/working-paper-2015-39/
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.2015-11-06T12:17:44+00:00enOption Valuation with Observable Volatility and Jump Dynamics2015-11-06Asset pricingWorking Paper 2015-39https://www.bankofcanada.ca/wp-content/uploads/2015/11/wp2015-39.pdfOption Valuation with Observable Volatility and Jump DynamicsPeter ChristoffersenBruno FeunouYoontae JeonNovember 2015GG1G12