Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options

We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard mode...

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Veröffentlicht in:	Journal of financial economics 2012-12, Vol.106 (3), p.447-472
Hauptverfasser:	Christoffersen, Peter, Jacobs, Kris, Ornthanalai, Chayawat
Format:	Artikel
Sprache:	eng
Schlagworte:	Analytical filtering Compound Poisson jumps Fat tails Put & call options Rates of return Risk premiums Securities prices Studies Volatility
Online-Zugang:	Volltext
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