Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options

Peter Christoffersen; Kris Jacobs; Chayawat Ornthanalai

Year of publication:	2010
Authors:	Christoffersen, Peter F. ; Jacobs, Kris ; Ornthanalai, Chayawat
Publisher:	Philadelphia, Pa. : Financial Institutions Center, Wharton School, Univ. of Pennsylvania
Subject:	Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Kapitaleinkommen \| Capital income \| Optionspreistheorie \| Option pricing theory \| Dynamische Wirtschaftstheorie \| Economic dynamics

Check Google Scholar |

More access options

In libraries world-wide (WorldCat)

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10009161203

A service of the