Time-series predictability in the disaster model

Finance Research Letters

Volumn 5, Issue 4, 2008, Pages 191-203

  Gourio, François ^a  

^a Boston University   (United States)

Author keywords

Disasters; Equity premium; Jumps; Rare events; Return predictability

Indexed keywords

EID: 54049121330     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2008.08.005     Document Type: Article

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