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

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