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Search: subject:"Time-series consistency"
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Time-series consistency
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Affine jump diffusion
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Capital income
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Yun, Jaeho
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Carverhill, Andrew
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Luo, Dan
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Journal of Banking & Finance
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Journal of banking & finance
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew
;
Luo, Dan
- In:
Journal of financial markets
64
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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2
Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho
- In:
Journal of Banking & Finance
47
(
2014
)
C
,
pp. 74-87
and its options’ contracts. We also examine the
time-series
consistency
between the model-implied spot volatilities using …
Persistent link: https://www.econbiz.de/10010931669
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3
Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho
- In:
Journal of banking & finance
47
(
2014
),
pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
Saved in:
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