Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics*

Review of Finance - United Kingdom
doi 10.1093/rof/rfu023
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Oxford University Press (OUP)

Related search

The Risk Premium and Long-Run Global Imbalances

Journal of Monetary Economics
EconomicsEconometricsFinance
2015English

GARCH Option Pricing Models and the Variance Risk Premium

Journal of Risk and Financial Management
2020English

Downside Variance Risk Premium

Finance and Economics Discussion Series
2015English

American Put Option Pricing for Stochastic-Volatility, Jump-Diffusion Models

Proceedings of the American Control Conference
Electronic EngineeringElectrical
2007English

The VIX, the Variance Premium and Stock Market Volatility

2013English

Estimating Jump Diffusion Structural Credit Risk Models

SSRN Electronic Journal
2006English

The VIX, the Variance Premium and Stock Market Volatility

SSRN Electronic Journal
2013English

Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty

Review of Finance
AccountingEconomicsEconometricsFinance
2013English

Long-Run Unemployment and Macroeconomic Volatility

SSRN Electronic Journal
2016English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy