A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Andrew Carverhill, Dan Luo
| Year of publication: |
2023
|
|---|---|
| Authors: | Carverhill, Andrew ; Luo, Dan |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 64.2023, p. 1-21
|
| Subject: | Time-varying jump risk | Markov Chain Monte Carlo | Risk premium | Time-series consistency | Option pricing | Risikoprämie | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Risiko | Risk | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2022.100786 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014466112