Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009
time-varying compensations for fears of disasters.
Keywords: rare events, jumps, high-frequency data, options, fears … afiect the
premia.
In particular, using actual high-frequency data and short maturity options it is possible
to non … discuss the data underlying our flndings.
5 Data and Preliminary Estimates
5.1 High-Frequency Data and Statistical Measures …