Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Peter Christoffersen; Kris Jacobs; Chayawat Ornthanalai
| 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
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| Subject: | Compound Poisson jumps | Analytical filtering | Fat tails | Risk premium | Risikoprämie | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Kapitaleinkommen | Capital income | Volatilität | Volatility |
| 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://www.econbiz.de/10009710173