Heterogeneous investment horizons, risk regimes, and realized jumps
Author:
Affiliation:
1. IESEG School of Management France
2. LEM‐CNRS 9221 France
3. Department of Economics and Finance University of Guelph Canada
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.1807
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1. Portfolio choice with jumps: A closed-form solution
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4. Testing whether jumps have finite or infinite activity
5. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
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