Time-varying jump tails
Tim Bollerslev; Viktor Todorov
| Year of publication: |
2014
|
|---|---|
| Authors: | Bollerslev, Tim ; Todorov, Viktor |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 183.2014, 2, p. 168-180
|
| Subject: | Market risk | Options | Risk-neutral distributions | Jumps | Time-varying jump tails | Extreme value theory | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure | Ausreißer | Outliers | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Aktienindex | Stock index | Nichtparametrisches Verfahren | Nonparametric statistics |
| Extent: | graph. Darst. |
|---|---|
| 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/10010506069