Do jumps contribute to the dynamics of the equity premium?John M. Maheu, Thomas H. McCurdy, Xiaofei Zhao2013-08-02articleJournal of Financial Economics69 citationsgreenNo readable copy stored yet — this record is metadata only.Financial Markets and Investment StrategiesStochastic processes and financial applicationsFinancial Risk and Volatility ModelingAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 69 citations exist upstream.References1996Multifactor Explanations of Asset Pricing Anomalies2012The Econometrics of Financial Markets1997The Econometrics of Financial Markets2006The Cross‐Section of Volatility and Expected Returns1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles2000Conditional Skewness in Asset Pricing Tests1980On estimating the expected return on the marketCited by2018Time-varying rare disaster risks, oil returns and volatility2022Equity Risk Premiums (ERP): Determinants, Estimation, and Implications – The 2022 Edition2024Not all words are equal: Sentiment and jumps in the cryptocurrency market2017Jumps, cojumps, and efficiency in the spot foreign exchange market