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Distress risk premia in expected stock and bond returns

✍ Scribed by Andrew Jianzhong Zhang


Book ID
116615936
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
305 KB
Volume
36
Category
Article
ISSN
0378-4266

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## Abstract This study tests the presence of time‐varying risk premia associated with extreme news events or jumps in stock index futures return. The model allows for a dynamic jump component with autoregressive jump intensity, long‐range dependence in volatility dynamics, and a volatility in mean