Jump and volatility dynamics for the S&P 500 : evidence for infinite-activity jumps with non-affine volatility dynamics from stock and option markets
Hanxue Yang and Juho Kanniainen
| Year of publication: |
March 2017
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|---|---|
| Authors: | Yang, Hanxue ; Kanniainen, Juho |
| Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford Univ. Press, ISSN 1572-3097, ZDB-ID 2145284-2. - Vol. 21.2017, 2, p. 811-844
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| Subject: | Levy-Prozess | Levy process | Bayes-Statistik | Bayesian inference | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/rof/rfw001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011803307