Jump-diffusion long-run risks models, variance risk premium, and volatility dynamics

DOI10.1093/ROF/RFU023MaRDI QIDQ4554739zbMATH OpenOpenAlexFDO

Authors Jianjian Jin

Publication date 9 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfu023

zbMATH Keywords

equity risk premiumjump-diffusion long-run risks modelsvariance risk premiums

Mathematics Subject Classification ID

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• Equilibrium variance risk premium in a cost-free production economy
• A non-linear dynamic model of the variance risk premium
• w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps
• Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying¹
• scientific article; zbMATH DE number 6174812 (Why is no real title available?)
• Jump factor models in large cross‐sections
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• Jumps and betas: a new framework for disentangling and estimating systematic risks

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