Bollerslev, Tim; Todorov, Viktor - 2009
distribution and the fears of jumps.
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tively isolate jump risk has previously been used in the estimation of speciflc parametric … error involved in approximating LTQt through equation (3.5) is in fact quite
trivial, while the estimation error for RTQt in … problem, and as such straightforward estimation of the
tail expectations based on sample averages will generally not give rise …