caa a22 4500 463187385 CHVBK 20180406164858.0 cr unu---uuuuu 170326e20070701xx s 000 0 eng 10.1007/s11156-007-0022-2 doi (NATIONALLICENCE)springer-10.1007/s11156-007-0022-2 The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics [Elektronische Daten] [In Kim, In-Seok Baek, Jaesun Noh, Sol Kim] This paper investigates the role of stochastic volatility and return jumps in reproducing the volatility dynamics and the shape characteristics of the Korean Composite Stock Price Index (KOSPI) 200 returns distribution. Using efficient method of moments and reprojection analysis, we find that stochastic volatility models, both with and without return jumps, capture return dynamics surprisingly well. The stochastic volatility model without return jumps, however, cannot fully reproduce the conditional kurtosis implied by the data. Return jumps successfully complement this gap. We also find that return jumps are essential in capturing the volatility smirk effects observed in short-term options. Springer Science+Business Media, LLC, 2007 Stochastic volatility model nationallicence Jump diffusion model nationallicence Efficient method of moments nationallicence Reprojection nationallicence Markov Chain Monte Carlo nationallicence Option pricing implications nationallicence Kim In School of Business, Yonsei University, 134 Shinchon-dong, 120-749, Seodaemun-gu, Seoul, Republic of Korea aut Baek In-Seok Samsung Investment Trust Management Co., Ltd, 36-1 Samsung Life Youido Bldg. Youido-dong, 150-886, Youngdeungpo-gu, Seoul, Republic of Korea aut Noh Jaesun Graduate School of Management, Korea Advanced Institute of Science and Technology, 207-43 Cheongyangni2-dong, 130-722, Dongdaemoon-gu, Seoul, Republic of Korea aut Kim Sol School of Management, Seoul Woman's University, 126 Gongreung-dong, 139-774, Nowon-gu, Seoul, Republic of Korea aut Review of Quantitative Finance and Accounting Springer US; http://www.springer-ny.com 29/1(2007-07-01), 69-110 0924-865X 29:1<69 2007 29 11156 https://doi.org/10.1007/s11156-007-0022-2 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11156-007-0022-2 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Kim In School of Business, Yonsei University, 134 Shinchon-dong, 120-749, Seodaemun-gu, Seoul, Republic of Korea aut NATIONALLICENCE 700 1- Baek In-Seok Samsung Investment Trust Management Co., Ltd, 36-1 Samsung Life Youido Bldg. Youido-dong, 150-886, Youngdeungpo-gu, Seoul, Republic of Korea aut NATIONALLICENCE 700 1- Noh Jaesun Graduate School of Management, Korea Advanced Institute of Science and Technology, 207-43 Cheongyangni2-dong, 130-722, Dongdaemoon-gu, Seoul, Republic of Korea aut NATIONALLICENCE 700 1- Kim Sol School of Management, Seoul Woman's University, 126 Gongreung-dong, 139-774, Nowon-gu, Seoul, Republic of Korea aut NATIONALLICENCE 773 0- Review of Quantitative Finance and Accounting Springer US; http://www.springer-ny.com 29/1(2007-07-01), 69-110 0924-865X 29:1<69 2007 29 11156 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer