Time-varying jump tails
type: Item
instance of: scholarly article
title: Time-varying jump tails
zbMATH Open document ID: 1312.91093
author: Viktor Todorov
author: Tim Bollerslev
published in: Journal of Econometrics
publication date: 2014-11-24T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6372052
zbMATH Keywords: market risk
zbMATH Keywords: options
zbMATH Keywords: risk-neutral distributions
zbMATH Keywords: jumps
zbMATH Keywords: time-varying jump tails
zbMATH Keywords: extreme value theory
MaRDI profile type: Publication
full work available at URL: j.jeconom.2014.05.007
OpenAlex ID: W2096887247
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DOI: 10.1016/J.JECONOM.2014.05.007
description: scientific article; zbMATH DE number 6372052