Realized jumps on financial markets and predicting credit spreads

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 102-118

  Tauchen, George ^a   Zhou, Hao ^b  

^a DUKE UNIVERSITY   (United States)

^b FEDERAL RESERVE BOARD   (United States)

Author keywords

Bipower variation; Credit risk premium; Jump volatility; Jumpdiffusion process; Realized jumps; Realized variance

Indexed keywords

BIPOWER VARIATION; CREDIT RISKS; JUMP VOLATILITY; JUMP-DIFFUSION PROCESS; REALIZED JUMPS; REALIZED VARIANCE;

COMMERCE; ELECTRIC LOAD FORECASTING; FINANCE; ONLINE SYSTEMS; RISK ASSESSMENT; SAMPLING;

RISK PERCEPTION;

EID: 78649759757     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.023     Document Type: Conference Paper

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