Disentangling continuous volatility from jumps in long-run risk-return relationships
Year of publication: |
2014
|
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Authors: | Jacquier, Eric ; Okou, Cédric |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 3, p. 544-583
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Subject: | continuous volatility | jump | long run | persistent regressor | realized variance | stock return predictability | Theorie | Theory | Volatilität | Volatility | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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