Showing 1 - 10 of 8,951
Persistent link: https://www.econbiz.de/10001411543
Persistent link: https://www.econbiz.de/10001517413
Persistent link: https://www.econbiz.de/10001497762
Persistent link: https://www.econbiz.de/10001497772
Persistent link: https://www.econbiz.de/10001747356
Persistent link: https://www.econbiz.de/10003493048
This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon risk in jump models with finite or infinite jump activity. Our empirical investigation shows, first, that the proposed risk measure consistently exceeds the benchmark Value-at-Risk (VaR). Second,...
Persistent link: https://www.econbiz.de/10013008970
Persistent link: https://www.econbiz.de/10011499675
Persistent link: https://www.econbiz.de/10011686900
Persistent link: https://www.econbiz.de/10001447927