Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets*
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Publication:4555662
DOI10.1093/rof/rfw001zbMath1402.91822OpenAlexW3124373426MaRDI QIDQ4555662
Publication date: 20 November 2018
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/rof/rfw001
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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