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~isPartOf:"Journal of financial economics"
~person:"Goyenko, Ruslan"
~person:"Ornthanalai, Chayawat"
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Search: "Christoffersen, Peter F."
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Option pricing theory
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Compound Poisson jumps
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Goyenko, Ruslan
Ornthanalai, Chayawat
Christoffersen, Peter F.
6
Jacobs, Kris
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Durham, Garland
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Journal of financial economics
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"
Durham, Garland
;
Geweke, John
;
Ghosh, Pulak
- In:
Journal of financial economics
115
(
2015
)
1
,
pp. 210-214
Persistent link: https://www.econbiz.de/10011327221
Saved in:
2
Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
106
(
2012
)
3
,
pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
Saved in:
3
Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
90
(
2008
)
3
,
pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
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