A Continuous-Time Arbitrage-Pricing Model with Stochastic Volatility and Jumps

1 January 1996

journal article
Published by JSTOR in Journal of Business & Economic Statistics

Vol. 14 (1) , 31
https://doi.org/10.2307/1392097

Abstract

We formulate and test a continuous-time asset-pricing model using U.S. equity market data. We assume that stock returns are driven by common factors including r...

Keywords

MODEL WITH STOCHASTIC
ARBITRAGE PRICING
TIME ARBITRAGE
STOCHASTIC VOLATILITY
PRICING MODEL
CONTINUOUS

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