摘要：We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a competitive inference alternative to the existing tools. This methodology is then extended to a large set of stocks for which we assume that their unobserved jump intensities co-evolve in time through a dynamic factor model. To evaluate the proposed modelling approach we conduct out-of-sample forecasts and we compare the posterior predictive distributions obtained from the different models. We provide evidence that joint modelling of jumps improves the predictive ability of the stochastic volatility models.
关键词：dynamic factor model;forecasting stock returns;Markov chain Monte Carlo;sequential Monte Carlo;stochastic volatility with jumps
