Volatility Jumps (Q3089154)

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Volatility Jumps
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    title
    Volatility Jumps (English)
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    author
    Viktor Todorov
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    George Tauchen
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    publication date
    24 August 2011
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    Mathematics Subject Classification ID
    91G70
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    62M09
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    62G05
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    zbMATH DE Number
    5942133
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    zbMATH Keywords
    activity index
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    jump risk premium
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    leverage effect
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    stochastic volatility
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    VIX index
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