Predictability of time-varying jump premiums : evidence based on calibration
Kent Wang; Yuqiang Guo
| Year of publication: |
2014
|
|---|---|
| Authors: | Wang, Kent ; Guo, Yuqiang |
| Published in: |
Australian journal of management. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0312-8962, ZDB-ID 609380-2. - Vol. 39.2014, 3, p. 369-394
|
| Subject: | Equity premium | jump intensity | jump premium | stock return predictability | volatility predictability | Volatilität | Volatility | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | CAPM | Schätzung | Estimation | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| 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/10010422038