Jump and Volatility Dynamics for the S&P 500: Evidence...

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Review of Finance 2016 / 02

Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets

Yang, Hanxue, Kanniainen, Juho
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Language:
english
Journal:
Review of Finance
DOI:
10.1093/rof/rfw001
Date:
February, 2016
File:
PDF, 413 KB
english, 2016
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