Time-varying jump tails

DOI10.1016/J.JECONOM.2014.05.007zbMath1312.91093OpenAlexW2096887247MaRDI QIDQ473227

Viktor Todorov, Tim Bollerslev

Publication date: 24 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.05.007

zbMATH Keywords

optionsjumpsextreme value theorymarket riskrisk-neutral distributionstime-varying jump tails

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models ⋮ Tail risk and return predictability for the Japanese equity market ⋮ Nonparametric jump variation measures from options ⋮ Extremal quantiles and stock price crashes ⋮ Tail index estimation in the presence of covariates: stock returns' tail risk dynamics ⋮ Persistence of jump-induced tail risk and limits to arbitrage ⋮ Testing for self-excitation in jumps ⋮ Bias reduction in spot volatility estimation from options

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