Predictability of time-varying jump premiums : evidence based on calibration
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 | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Volatilität | Volatility | Schätzung | Estimation | Börsenkurs | Share price | CAPM |
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