Do jumps contribute to the dynamics of the equity premium
Year of publication: |
2013
|
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Authors: | Maheu, John M. ; McCurdy, Thomas H. ; Zhao, Xiaofei |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 110.2013, 2, p. 457-477
|
Subject: | Jumps | Higher-order moments | Skewness | Kurtosis | Equity premium | Risikoprämie | Risk premium | Theorie | Theory | CAPM | Kapitaleinkommen | Capital income | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Momentenmethode | Method of moments |
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