Price and volatility co-jumps
Year of publication: |
January 2016
|
---|---|
Authors: | Bandi, F. M. ; Renò, Roberto |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 119.2016, 1, p. 107-146
|
Subject: | Stochastic volatility | Jumps in prices | Jumps in volatility | Co-jumps | Infinitesimal cross-moments | Return risk premia | Variance risk premia | Volatilität | Volatility | Risikoprämie | Risk premium | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Schätzung | Estimation | Börsenkurs | Share price | CAPM | Optionspreistheorie | Option pricing theory |
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