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ArticleTime-varying jump tails

Tim Bollerslev2014

Article2014

Time-varying jump tails

Tim Bollerslev · Viktor Todorov

85 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1976Option pricing when underlying stock returns are discontinuous 2005Stochastic Integration and Differential Equations 1997Modelling Extremal Events 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2003Financial Modelling with Jump Processes 1993Dynamic Asset Pricing Theory.2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 2003Limit Theorems for Stochastic Processes

Cited by

2017Contagion Risk in Global Banking Sector 2020Tail risk and return predictability for the Japanese equity market 2018Testing for self-excitation in jumps 2018An anatomy of the market return 2017The Pricing of Jump Propagation: Evidence from Spot and Options Markets 2019Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*

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Details

Year2014

Typearticle

Published2014-05-20

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations85

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2014.05.007

openalex_workW2096887247

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2018

Measuring Tail Risks at High Frequency

2020Decomposing the VIX: Implications for the predictability of stock returns