Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics
نویسندگان
چکیده
منابع مشابه
A Long-run Risks Model with Long- and Short-run Volatilities: Explaining Predictability and Volatility Risk Premium
We are grateful to Doron Avramov, Ravi Bansal, Jason Beeler, Geert Bekaert, Tim Bollerslev, Long Chen, Peter Christoffersen, Bjørn Eraker, Satadru Hore, Hong Liu, Zhongjin Lu, Ivan Shaliastovich, Jack Strauss, George Tauchen, Hao Zhou, and seminar participants at East China University of Science and Technology, National University of Singapore, Tsinghua University, and CKGSB 2009 summer worksho...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2227037