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| Modello Jump-Diffusion di Merton× | Modello HAR-RV della Volatilità Realizzata× | |
|---|---|---|
| Campo | Finanza | Finanza |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 1976 | 2009 |
| Ideatore≠ | Robert C. Merton | Fulvio Corsi |
| Tipo≠ | Continuous-time asset price model (diffusion plus Poisson jumps) | Linear time-series regression for volatility |
| Fonte seminale≠ | Merton, R. C. (1976). Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3(1–2), 125–144. DOI ↗ | Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174–196. DOI ↗ |
| Alias≠ | Merton jump-diffusion, jump-diffusion process, Atlama Difüzyon Modeli (Merton Jump-Diffusion) | HAR-RV, heterogeneous autoregressive realized volatility, Corsi HAR model, HAR-RV Modeli (Heterogeneous Autoregressive Realized Volatility) |
| Correlati≠ | 4 | 5 |
| Sintesi≠ | The Merton Jump-Diffusion model, introduced by Robert C. Merton in 1976, extends Geometric Brownian Motion by adding sudden price jumps generated by a Poisson process. It captures the volatility smile and the fat-tailed return behaviour that standard Black-Scholes cannot explain, and is widely used in option pricing and risk management. | The HAR-RV model, introduced by Fulvio Corsi in 2009, forecasts realized volatility by decomposing it into daily, weekly, and monthly components. It is a simple linear regression that mirrors how market participants with different investment horizons react to volatility, and it naturally captures the long-memory behaviour of volatility. |
| ScholarGateInsieme di dati ↗ |
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