Do Jumps Matter in the Long Term? A Tale of Two Horizons
Author:
Affiliation:
1. Department of Statistics and Actuarial Science, Simon Fraser University, Burnaby, British Columbia, Canada
2. Department of Mathematics, Université du Québec à Montréal, Montréal, Québec, Canada
Funder
Simon Fraser University
NVIDIA
NSERC
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/10920277.2020.1837636
Reference38 articles.
1. American Academy of Actuaries. 2005. Recommended approach for setting regulatory risk-based capital requirements for variable products and similar products. Technical Report, American Academy of Actuaries, Washington, DC, USA.
2. An Out-of-Sample Analysis of Investment Guarantees for Equity-Linked Products
3. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
4. Processes of normal inverse Gaussian type
5. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
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