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Estimation of Jump Tails
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USA
Volatilität
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Volatility
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99
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97
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high-frequency data
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jumps
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English
65
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Bollerslev, Tim
60
Andersen, Torben
28
Diebold, Francis X.
24
Todorov, Viktor
10
Zhou, Hao
9
Christoffersen, Peter F.
8
Vega, Clara
6
Wu, Jin
6
Andersen, Torben G.
3
Gibson, Michael S.
3
Tauchen, George Eugene
3
Baillie, Richard
2
Cai, Jun
2
Domowitz, Ian
2
Fusari, Nicola
2
Hood, Benjamin
2
Huss, John
2
Labys, Paul
2
Marrone, James
2
Meddahi, Nour
2
Mikkelsen, Hans Ole Æ.
2
Pedersen, Lasse Heje
2
Song, Frank M.
2
Xu, Lai
2
Anderson, Torben G.
1
Engle, Robert F.
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Ren, Yuexuan
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The risks of financial institutions : [...papers and comments presented at a conference held in Woodstock, Vermont, 22-23 October 2004]
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ECONIS (ZBW)
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EconStor
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1
Tails, fears and risk premia
Bollerslev, Tim
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003849565
Saved in:
2
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
-
2010
Persistent link: https://www.econbiz.de/10003959796
Saved in:
3
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
-
2011
Persistent link: https://www.econbiz.de/10009559410
Saved in:
4
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
6
,
pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
Saved in:
5
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
- In:
The journal of finance : the journal of the American …
66
(
2011
)
6
,
pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
Saved in:
6
Variance risk-premium dynamics : the role of jumps
Todorov, Viktor
- In:
The review of financial studies
23
(
2010
)
1
,
pp. 345-383
Persistent link: https://www.econbiz.de/10003941654
Saved in:
7
The pricing of short-term market risk : evidence from weekly options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2015
Persistent link: https://www.econbiz.de/10011347366
Saved in:
8
The realized Laplace transform of volatility
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
3
,
pp. 1105-1127
Persistent link: https://www.econbiz.de/10009629019
Saved in:
9
Cross-sectional dispersion of risk in trading time
Andersen, Torben
;
Thyrsgaard, Martin
;
Todorov, Viktor
-
2019
Persistent link: https://www.econbiz.de/10012124980
Saved in:
10
Short-term market risks implied by weekly options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
The journal of finance : the journal of the American …
72
(
2017
)
3
,
pp. 1335-1386
Persistent link: https://www.econbiz.de/10011738723
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