No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects and Jumps: Theory and Testable Distributional Implications*

No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects and Jumps: Theory and Testable Distributional Implications*

We shed light on the characteristics of high-frequency asset return and volatility processes and their implications for daily return distributions. We document that the standard jumpdiffusion setting readily accommodates the main features of equity index returns, including stochastic volatility, outlier behavior and a strong asymmetry between return and volatility innovations. We also informally test, and confirm, that the underlying high-frequency returns are consistent with the general semi-martingale restriction by recovering almost exact Gaussianity of the “daily” returns sampled in “financial time” through a dynamic correction for jumps and an “event-time” sampling scheme. Each step of the procedure provides insights into the corresponding aspect of the data: jumps, stochastic volatility and the asymmetry or “leverage effect”. Please send email to Mathias Drton (drton@galton.uchicago.edu) for further information. Information about building access for persons with disabilities may be obtained in advance by calling the department office at (773) 702-8333.

我们阐明了高频资产收益和波动过程的特征及其对每日收益分布的影响。我们证明标准的跳跃扩散设定很容易适应股票指数收益的主要特征，包括随机波动性、异常值行为以及收益和波动创新之间的强烈不对称性。我们还非正式地检验并确认，通过对跳跃进行动态校正以及采用“事件时间”抽样方案，恢复在“金融时间”中抽样的“每日”收益几乎精确的高斯性，基础高频收益符合一般半鞅限制。该过程的每一步都提供了对数据相应方面的深入了解：跳跃、随机波动性以及不对称性或“杠杆效应”。如需进一步信息，请发邮件至Mathias Drton（drton@galton.uchicago.edu）。有关残疾人进入大楼的信息，可提前致电系办公室(773) 702 - 8333获取。