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Diverse beliefs and time variability of risk premia

✍ Scribed by Mordecai Kurz; Maurizio Motolese


Book ID
105867016
Publisher
Springer
Year
2010
Tongue
English
Weight
808 KB
Volume
47
Category
Article
ISSN
0938-2259

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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