An empirical examination of jump risk in U.S. equity and bond markets

DOI10.1080/10920277.2007.10597485MaRDI QIDQ5019769zbMATH OpenOpenAlexFDO

Authors Lee M. Dunham, Geoffrey C. Friesen

Publication date 10 January 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://digitalcommons.unl.edu/financefacpub/3

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

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Cites work

• A Regime-Switching Model of Long-Term Stock Returns
• Option pricing when underlying stock returns are discontinuous

Cited in

(6)

• Consuming durable goods when stock markets jump: a strategic asset allocation approach
• Information arrival as price jumps
• Risk, jumps, and diversification
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
• Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession
• Jumps and betas: a new framework for disentangling and estimating systematic risks

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