[PDF][PDF] Exploring time-varying jump intensities: evidence from S&P500 returns and options
P Christoffersen, K Jacobs… - EFA 2008 Athens …, 2008 - papers.ssrn.com
Standard empirical investigations of jump dynamics in returns and volatility are fairly
complicated due to the presence of latent continuous-time factors. We present a new …
complicated due to the presence of latent continuous-time factors. We present a new …
[引用][C] Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
P Christoffersen, K Jacobs, C Ornthanalai - 2009 - econpapers.repec.org
Keywords: compound Poisson process, option valuation, filtering; volatility jumps, jump risk
premia, time-varying jump intensity, heteroskedasticity., processus composé de Poisson …
premia, time-varying jump intensity, heteroskedasticity., processus composé de Poisson …
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
P Christoffersen, K Jacobs, C Ornthanalai - 2008 - policycommons.net
We investigate if risk premia for the jump and the normal innovation can generate the
various shapes and levels of the implied volatility term structure, and we find that the implied …
various shapes and levels of the implied volatility term structure, and we find that the implied …
[引用][C] Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
P Christoffersen, K Jacobs, C Ornthanalai - 2009 - ideas.repec.org
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options IDEAS
home Advanced search Economic literature: papers, articles, software, chapters, books. Authors …
home Advanced search Economic literature: papers, articles, software, chapters, books. Authors …
[PDF][PDF] Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
P Christoffersen, K Jacobs, C Ornthanalai - 2008 - Citeseer
Standard empirical investigations of jump-dynamics in return and volatility are fairly
complicated due to the presence of multiple latent continuous-time factors. We present a …
complicated due to the presence of multiple latent continuous-time factors. We present a …
[PDF][PDF] Exploring Time&Varying Jump Intensities: Evidence from S&P500 Returns and Options
P Christoffersen, K Jacobs, C Ornthanalai - 2008 - papers.ssrn.com
Standard empirical investigations of jump dynamics in returns and volatility are fairly
complicated due to the presence of latent continuous&time factors. We present a new …
complicated due to the presence of latent continuous&time factors. We present a new …
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
P Christoffersen, K Jacobs, C Ornthanalai - 2009 - depot.erudit.org
Les recherches empiriques standards portant sur la dynamique des sauts dans les
rendements et dans la volatilité sont plutôt complexes en raison de la présence de facteurs …
rendements et dans la volatilité sont plutôt complexes en raison de la présence de facteurs …
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
P Christoffersen, K Jacobs, C Ornthanalai - 2009 - depot.erudit.org
Les recherches empiriques standards portant sur la dynamique des sauts dans les
rendements et dans la volatilité sont plutôt complexes en raison de la présence de facteurs …
rendements et dans la volatilité sont plutôt complexes en raison de la présence de facteurs …