Beyond Stochastic Volatility and Jumps in Returns and Volatility
نویسندگان
چکیده
منابع مشابه
Beyond Stochastic Volatility and Jumps in Returns and Volatility
While a great deal of attention has been focused on stochastic volatility in stock returns, there is strong evidence suggesting that return distributions have time-varying skewness and kurtosis as well. Under the risk-neutral measure, for example, this can be seen from variation across time in the shape of Black-Scholes implied volatility smiles. This paper investigates model characteristics th...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2013
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2013.747800