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The economic value of volatility timing with realized jumps · Study

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ArticleThe economic value of volatility timing with realized jumps

Ingmar Nolte2015

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Articlegreen2015

The economic value of volatility timing with realized jumps

Ingmar Nolte · Qi Lei Xu

27 citations·0/0 files stored·Journal of Empirical Finance

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

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References

1976Option pricing when underlying stock returns are discontinuous 1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy 2008A Simple Approximate Long-Memory Model of Realized Volatility 2003The Impact of Jumps in Volatility and Returns 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices 2003Alternative models for stock price dynamics

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Year2015

Typearticle

Published2015-09-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2015.03.019

openalex_workW3124513596

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