𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Time-Varying Betas of German Stock Returns

✍ Scribed by Markus Ebner; Thorsten Neumann

Book ID
107341511
Publisher
Springer US
Year
2005
Tongue
English
Weight
522 KB
Volume
19
Category
Article
ISSN
1555-4961

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Time-varying jump risk premia in stock i
Time-varying jump risk premia in stock index futures returns
✍ Wing Hong Chan; Liling Feng πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 453 KB

## 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