Exploring Time-Varying Jump Intensities: Evidence From S&P500 Returns and Options

SSRN Electronic Journal
doi 10.2139/ssrn.1107803
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Oil and Stock Returns: Evidence From European Industrial Sector Indices in a Time-Varying Environment

Journal of International Financial Markets, Institutions and Money
EconomicsEconometricsFinance
2013English

Parametric Pricing of Higher Order Moments in S&P500 Options

Journal of Applied Econometrics
EconomicsEconometricsSocial Sciences
2005English

Misunderestimation: Exponential-Growth Bias and Time-Varying Returns

SSRN Electronic Journal
2015English

The S&P500 Index Effect Reconsidered: Evidence From Overnight and Intraday Stock Price Performance and Volume

Journal of Banking and Finance
EconomicsEconometricsFinance
2010English

Value Versus Growth: Time-Varying Expected Stock Returns

Financial Management
AccountingEconomicsEconometricsFinance
2011English

Modelling Momentum Winner/Loser Asymmetry: The Sources of Winner and Loser Returns in the ASX200 and S&P500

Accounting and Finance
AccountingEconomicsEconometricsFinance
2019English

Sign Realized Jump Risk and the Cross-Section of Stock Returns: Evidence From China's Stock Market

PLoS ONE
Multidisciplinary
2017English

The Forecasting Ability of GARCH Models for the 2003–07 Crisis: Evidence From S&P500 Index Volatility

Lahore Journal of Business
2012English

How to Discount Cashflows With Time-Varying Expected Returns

Journal of Finance
AccountingEconomicsEconometricsFinance
2004English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy