A time-varying jump tail risk measure using high-frequency options data

Masato Ubukata

Year of publication:	2022
Authors:	Ubukata, Masato
Published in:	Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 63.2022, 5, p. 2633-2653
Subject:	High-frequency option data \| Implied jump variation \| Time-varying jump tails \| Variance risk premium \| Volatilität \| Volatility \| Risikoprämie \| Risk premium \| Risikomaß \| Risk measure \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Kapitaleinkommen \| Capital income \| Stochastischer Prozess \| Stochastic process \| Statistische Verteilung \| Statistical distribution \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Schätzung \| Estimation \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Börsenkurs \| Share price

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1007/s00181-022-02209-5 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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