The Fine Structure of Asset Returns: An Empirical Investigation

Peter Carr and Helyette Geman
Additional contact information
Helyette Geman: Universite Paris Dauphine and Ecole Superieure des Sciences Economiques et Commerciales

The Journal of Business, 2002, vol. 75, issue 2, 305-332

Abstract: We investigate the importance of diffusion and jumps in a new model for asset returns. In contrast to standard models, we allow for jump components displaying finite or infinite activity and variation. Empirical investigations of time series indicate that index dynamics are devoid of a diffusion component, which may be present in the dynamics of individual stocks. This leads to the conjecture, confirmed on options data, that the risk-neutral process should be free of a diffusion component. We conclude that the statistical and risk-neutral processes for equity prices are pure jump processes of infinite activity and finite variation.

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (495)

Downloads: (external link)
http://dx.doi.org/10.1086/338705 main text (application/pdf)
Access to the online full text or PDF requires a subscription.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:75:y:2002:i:2:p:305-332

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().