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Time-varying rare disaster risk and stock returns

✍ Scribed by Henk Berkman; Ben Jacobsen; John B. Lee

Book ID
113711359
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
505 KB
Volume
101
Category
Article
ISSN
0304-405X

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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