Bollerslev, Tim; Todorov, Viktor - 2009
to these studies, which extrapolate the impact of rare disasters from equilib-
rium based pricing models and auxiliary …-Clara and Yan (2009) among others. However, these earlier studies are all based
on fairly tightly parameterized jump … statistically signiflcant. Several recent studies have sought to explain
this phenomenon and how the variance premium correlates …