Testing for Functional Relationships between Log-price and Volatility
Speaker:
Jean Jacod, University of Chicago
Date and Time:
Saturday, April 24, 2010 - 3:00pm to 3:20pm
Location:
Fields Institute, Room 230
Abstract:
In many models for asset prices, the (stochastic) volatility jumps at the same times as the price itself, and moreover the two jumps are related by a functional relationship: this is in particular the case for the so-called COGARCH (continuous-time GARCH) models. In this paper we give a method allowing to
test whether a specific relationship between the price and volatility jumps is satisfied.