Persistence of jump-induced tail risk and limits to arbitrage

DOI10.1080/14697688.2022.2151502zbMath1519.91241MaRDI QIDQ6158431

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Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

zbMATH Keywords

asymmetrytail riskempirical asset pricingcross-section of stock returnsreturn prediction

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Financial markets (91G15)

Cites Work

• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Time-varying jump tails
• The VIX, the variance premium and stock market volatility
• Estimation of Jump Tails
• Volatility Jumps
• Does VIX Truly Measure Return Volatility?
• Jump factor models in large cross‐sections
• Option pricing when underlying stock returns are discontinuous
• Common risk factors in the returns on stocks and bonds

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