Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Year of publication: |
2012
|
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Authors: | Christoffersen, Peter F. ; Jacobs, Kris ; Ornthanalai, Chayawat |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 106.2012, 3, p. 447-472
|
Subject: | Compound Poisson jumps | Analytical filtering | Fat tails | Risk premium | Risikoprämie | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Kapitaleinkommen | Capital income | Volatilität | Volatility |
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