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A jump and smile ride : jump and variance risk premia in option pricing
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 18 (2020) 1, pp. 121-157
Persistent link: https://www.econbiz.de/10012180409
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News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz; Yang, Xiye - In: Journal of financial econometrics 21 (2023) 5, pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
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Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji; Skrobotov, Anton; Tsarev, Alexey - In: Journal of financial econometrics 21 (2023) 4, pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
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A mixed frequency stochastic volatility model for intraday stock market returns
Bekierman, Jeremias; Gribisch, Bastian - In: Journal of financial econometrics 19 (2021) 3, pp. 496-530
Persistent link: https://www.econbiz.de/10012654963
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Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne; Lucas, André - In: Journal of financial econometrics 17 (2019) 1, pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
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An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei; Ko, Yi-Chen; Wang, Jr-Yan - In: Journal of financial econometrics 21 (2023) 3, pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
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From which consumption-based asset pricing models can investors profit? : evidence from model-based priors
Kruttli, Mathias S. - In: Journal of financial econometrics 20 (2022) 3, pp. 539-567
Persistent link: https://www.econbiz.de/10013349138
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Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe; Grassi, Stefano; Vocalelli, Giorgio - In: Journal of financial econometrics 22 (2024) 2, pp. 531-574
Persistent link: https://www.econbiz.de/10014526336