Ornthanalai, Chayawat - In: Journal of Financial Economics 112 (2014) 1, pp. 69-90
Using index options and returns from 1996 to 2009, I estimate discrete-time models where asset returns follow a Brownian increment and a Lévy jump. Time variations in these models are generated with an affine GARCH, which facilitates the empirical implementation. I find that the risk premium...