Jump and Volatility Dynamics for the S&P500: Evidence...

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Jump and Volatility Dynamics for the S&P500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets

Yang, Hanxue, Kanniainen, Juho
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Year:
2015
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2616243
File:
PDF, 405 KB
english, 2015
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