Driessen, Joost; Maenhout, Pascal - In: Journal of Banking & Finance 37 (2013) 2, pp. 518-536
We study international integration of markets for jump and volatility risk, using index option data for the main global … separately, we provide evidence that volatility and jump risk are priced risk factors. There is little evidence, however, of … jump and volatility risk internationally are substantial, but declining. …
