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Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets

  • Published:2013-09 Issue:9 Volume:37 Page:1872-1888
  • ISSN:0165-1889
  • Container-title:Journal of Economic Dynamics and Control
  • language:en
  • Short-container-title:Journal of Economic Dynamics and Control

Author:

Kaeck Andreas

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference53 articles.

1. An empirical investigation of continuous-time equity return models;Andersen;The Journal of Finance,2002

2. Attari, M., 2004. Option Pricing using Fourier Transforms. Technical Report, Charles River Associates Working Paper.

3. Théorie de la spéculation;Bachelier;Annales de l'Ecole Normale Supérieure,1900

4. Delta-hedged gains and the negative market volatility risk premium;Bakshi;Review of Financial Studies,2003

5. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997

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1. The effect of return jumps on herd behavior;Journal of Behavioral and Experimental Finance;2020-09

2. Three Essays on Nonlinear Time-series Econometrics;SSRN Electronic Journal;2019

3. Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns;Journal of Economic Dynamics and Control;2018-05

4. Dynamic asset allocation with asymmetric jump distribution;China Finance Review International;2018-03-28

5. Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads;SSRN Electronic Journal;2018
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