Systemic co-jumps
Year of publication: |
2016
|
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Authors: | Caporin, Massimiliano ; Kolokolov, Alexey ; RenĂ², Roberto |
Publisher: |
Frankfurt a. M. : Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe |
Subject: | Jumps | Return predictability | Systemic events | Variance Risk Premium |
Series: | SAFE Working Paper ; 149 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.2851811 [DOI] 870148931 [GVK] hdl:10419/146956 [Handle] RePEc:zbw:safewp:149 [RePEc] |
Classification: | c58 ; G11 - Portfolio Choice ; C14 - Semiparametric and Nonparametric Methods |
Source: |
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Caporin, Massimiliano, (2016)
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Caporin, Massimiliano, (2017)
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Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter, (2018)
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Caporin, Massimiliano, (2016)
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Caporin, Massimiliano, (2014)
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Caporin, Massimiliano, (2017)
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