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~person:"Schmeling, Maik"
~person:"Jacobs, Kris"
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Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
Christoffersen, Peter
;
Jacobs, Kris
;
Ornthanalai, Chayawat
- In:
Journal of Financial Economics
106
(
2012
)
3
,
pp. 447-472
We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard...
Persistent link: https://www.econbiz.de/10010587980
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2
Currency momentum strategies
Menkhoff, Lukas
;
Sarno, Lucio
;
Schmeling, Maik
; …
- In:
Journal of Financial Economics
106
(
2012
)
3
,
pp. 660-684
. However, there seem to be very effective limits to
arbitrage
that prevent momentum returns from being easily exploitable in …
Persistent link: https://www.econbiz.de/10010587981
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3
Market skewness risk and the cross section of stock returns
Chang, Bo Young
;
Christoffersen, Peter
;
Jacobs, Kris
- In:
Journal of Financial Economics
107
(
2013
)
1
,
pp. 46-68
The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high...
Persistent link: https://www.econbiz.de/10010593823
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