Disentangling continuous volatility from jumps in long-run risk-return relationships
Eric Jacquier; Cédric Okou
| Year of publication: |
2014
|
|---|---|
| Authors: | Jacquier, Eric ; Okou, Cédric |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 3, p. 544-583
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| Subject: | continuous volatility | jump | long run | persistent regressor | realized variance | stock return predictability | Volatilität | Volatility | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | CAPM | Börsenkurs | Share price | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010391947