Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - In: Journal of Financial Economics 106 (2012) 3, pp. 447-472
We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard...