Similar Search Results - EconBiz

Corporate diversification and asymmetric information: evidence from stock market trading characteristics

Clarke, Jonathan E.; Fee, C.Edward; Thomas, Shawn - In: The journal of corporate finance : contracting, … 10 (2004) 1, pp. 105-130

Persistent link: https://www.econbiz.de/10005929876

Corporate diversification and asymmetric information: evidence from stock market trading characteristics

Clarke, Jonathan E.; Fee, C. Edward; Thomas, Shawn - In: Journal of Corporate Finance 10 (2004) 1, pp. 105-129

Persistent link: https://www.econbiz.de/10005286200

Time-varying crash risk: The role of stock market liquidity

Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae; … - 2016

We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on...

Persistent link: https://www.econbiz.de/10011564715

Option valuation with long-run and short-run volatility components

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297

Persistent link: https://www.econbiz.de/10003833351

Exploring time-varying jump intensities : evidence from S&P500 returns and options

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2008

Persistent link: https://www.econbiz.de/10003861266

Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2010

Persistent link: https://www.econbiz.de/10009161203

A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"

Durham, Garland; Geweke, John; Ghosh, Pulak - In: Journal of financial economics 115 (2015) 1, pp. 210-214

Persistent link: https://www.econbiz.de/10011327221

GARCH option valuation : theory and evidence

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2012

Persistent link: https://www.econbiz.de/10009667377

Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 106 (2012) 3, pp. 447-472

Persistent link: https://www.econbiz.de/10009710173

GARCH option valuation : theory and evidence

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: The journal of derivatives : the official publication … 21 (2013) 2, pp. 8-41

Persistent link: https://www.econbiz.de/10010358127

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