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We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof we identify and estimate a new Investor Fears index. The index suggests both large and...
Persistent link: https://www.econbiz.de/10008549030
choice problem to illustrate the economic gains from exploiting high frequency data for modeling dynamic dependence. …
Persistent link: https://www.econbiz.de/10010834069