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英文文献：Volatility jumps and their economic determinants-波动性跳跃及其经济决定因素
英文文献作者：Massimiliano Caporin,Eduardo Rossi,Paolo Santucci de Magistris
英文文献摘要：
The volatility of financial returns is characterized by rapid and large increments. We propose an extension of the Heterogeneous Autoregressive model to incorporate jumps into the dynamics of the ex-post volatility measures. Using the realized-range measures of 36 NYSE stocks, we show that there is a positive probability of jumps in volatility. A common factor in the volatility jumps is shown to be related to a set of financial covariates (such as variance risk premium, S&P500 volume, credit-default swap, and federal fund rates). The credit-default swap on US banks and variance risk premium have predictive power on expected jump moves, thus confirming the common interpretation that sudden and large increases in equity volatility can be anticipated by credit deterioration of the US bank sector as well as changes in the market expectations of future risks. Finally, the model is extended to incorporate the credit-default swap and the variance risk premium in the dynamics of the jump size and intensity.
财务回报的波动性以快速和大幅度的增量为特征。我们提出了一个扩展的异质自回归模型，以纳入跳跃到动态的事后波动措施。利用纽约证券交易所36只股票的实际波动范围，我们证明了波动性有一个正的跳跃概率。波动率跃升的一个共同因素与一组金融协变量相关(如方差风险溢价、标准普尔500交易量、信用违约掉期和联邦基金利率)。美国银行的信用违约互换和方差风险溢价预期跳移动预测能力,从而确认突然大量增加的普遍解释股市波动性可以预期美国银行业信贷恶化以及未来市场预期的变化的风险。最后，将模型扩展到将信用违约互换和方差风险溢价纳入跳跃规模和强度的动态中。
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