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index options, one needs to incorporate an infinite activity jump component in the underlying asset return process, and also …
Persistent link: https://www.econbiz.de/10005699646
Theoretical literature in finance has shown that quantifying the risk of financial time series amounts to measuring their expected shortfall, also known as tail Value at Risk. Unfortunately, little empirical work has been devoted to the problem of modeling and inference of such risk measures...
Persistent link: https://www.econbiz.de/10005328924