Jump risk and cross section of stock returns: evidence from China’s stock market
Year of publication: |
2011
|
---|---|
Authors: | Zhou, Haigang ; Zhu, John |
Published in: |
Journal of Economics and Finance. - Springer, ISSN 1055-0925. - Vol. 35.2011, 3, p. 309-331
|
Publisher: |
Springer |
Subject: | Instantaneous Volatility | Diffusion-jump | Fama-MacBeth | Zero-cost | High-frequency | Tick-by-Tick | Stochastic Discount Factor |
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