Equity index variance : evidence from flexible parametric jump-diffusion models
Andreas Kaeck, Paulo Rodrigues, Norman J. Seeger
| Year of publication: |
October 2017
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|---|---|
| Authors: | Kaeck, Andreas ; Rodrigues, Paulo Jorge Maurício ; Seeger, Norman |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 83.2017, p. 85-103
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| Subject: | Stochastic volatility | Jump-diffusion models | Bayesian inference | Markov chain Monte Carlo | Particle filter | Deviance information criteria | Realized variance | High-frequency returns | Variance risk premium | Volatilität | Volatility | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Varianzanalyse | Analysis of variance | Schätzung | Estimation | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Bayes-Statistik | Aktienindex | Stock index | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2017.06.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011816827