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Bayesian estimation of asymmetric jump-diffusion processes

Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10010512597

Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148

Persistent link: https://www.econbiz.de/10010337468

A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes

Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246

Persistent link: https://www.econbiz.de/10011543918

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process

Hong, KiHoon Jimmy; Satchell, Stephen - In: The European journal of finance 20 (2014) 1/3, pp. 264-290

Persistent link: https://www.econbiz.de/10010462111

A Multifactor Self-Exciting Jump Diffusion Approach for Modelling the Clustering of Jumps in Equity Returns

Hainaut, Donatien - 2017

This paper introduces a new jump diffusion process where the occurrence and the size of past jumps have an impact on both the instantaneous and the long term propensities of observing a jump instantaneously. Here, the intensity of jump arrival is a multifactor self-excited process whereas the...

Persistent link: https://www.econbiz.de/10012969146