英文标题：
《Conditional correlation in asset return and GARCH intensity model》
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作者：
Geon Ho Choe and Kyungsub Lee
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最新提交年份：
2013
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英文摘要：
  In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return\'s sign. To take into account the conditional asymmetry, we introduce new models for asset return dynamics in which frequencies of the up and down movements of asset price have conditionally independent Poisson distributions with stochastic intensities. The intensities are assumed to be stochastic recurrence equations of the GARCH type in order to capture the volatility clustering and the leverage effect. We provide an important linkage between our model and existing GARCH, explain how to apply maximum likelihood estimation to determine the parameters in the intensity model and show empirical results with the S&P 500 index return series.
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中文摘要：
在资产收益率序列中，根据当前收益率的符号，当前收益率和过去波动率之间存在条件不对称依赖关系。为了考虑条件不对称性，我们引入了新的资产收益率动力学模型，其中资产价格的上下波动频率具有随机强度的条件独立泊松分布。假设强度为GARCH类型的随机递归方程，以捕捉波动率聚集和杠杆效应。我们提供了我们的模型和现有GARCH之间的重要联系，解释了如何应用最大似然估计来确定强度模型中的参数，并展示了标准普尔500指数收益率序列的实证结果。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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