A comment on Christoffersen, Jacobs, and Ornthanalai (2012), “Dynamic jump intensities and risk premiums: Evidence from S&P 500 returns and options”-Reference-Cited by-同舟云学术

A comment on Christoffersen, Jacobs, and Ornthanalai (2012), “Dynamic jump intensities and risk premiums: Evidence from S&P 500 returns and options”

Published:2015-01 Issue:1 Volume:115 Page:210-214
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Durham Garland,Geweke John,Ghosh Pulak

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference8 articles.

1. Aït-Sahalia, Y., Cacho-Diaz, J., Laeven, R.J.A., 2013. Modeling financial contagion using mutually exciting jump processes. Unpublished working paper. National Bureau of Economic Research.

2. Conditional jump dynamics in stock market returns;Chan;Journal of Business and Economic Statistics,2002

3. Dynamic jump intensities and risk premiums;Christoffersen;Journal of Financial Economics,2012

4. A closer look at the relation between GARCH and stochastic autoregressive volatility;Fleming;Journal of Financial Econometrics,2003

5. News arrival, jump dynamics, and volatility components for individual stock returns;Maheu;Journal of Finance,2004

Cited by 11 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Exchange options and spread options with stochastically correlated underlyings;Applied Economics Letters;2021-04-02

2. Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices;The North American Journal of Economics and Finance;2020-11

3. Forecasting Option Prices Using Discrete-Time Volatility Models Estimated at Mixed Timescales;The Journal of Derivatives;2019-12-13

4. A Stochastic Volatility Model With Realized Measures for Option Pricing;Journal of Business & Economic Statistics;2019-05-31

5. Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options;The Review of Financial Studies;2019-04-26