Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10011342801
This study explores the relationship between realized variance jump risk and conditional equity risk premium. Using high frequency records of the Standard & Poor's 500 index, we construct a realized variance measure and estimate its jump component using a Heterogeneous Autoregressive model...
Persistent link: https://www.econbiz.de/10013021603