A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"
Garland Durham; John Geweke; Pulak Ghosh
| Year of publication: |
2015
|
|---|---|
| Authors: | Durham, Garland ; Geweke, John ; Ghosh, Pulak |
| Other Persons: | Christoffersen, Peter F. (contributor) ; Jacobs, Kris (contributor) ; Ornthanalai, Chayawat (reviewed) |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 115.2015, 1, p. 210-214
|
| Subject: | Compound Poisson jumps | Risk premiums | Analytical filtering | Dynamic jump intensity | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011327221