Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships
Year of publication: |
2013-06-01
|
---|---|
Authors: | Jacquier, Éric ; Okou, Cédric |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | predictability | realized variance | continuous volatility | jumps | long-run returns | persistent regressor |
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