Volatility jumps

Journal of Business and Economic Statistics

Volumn 29, Issue 3, 2011, Pages 356-371

  Todorov, Viktor ^a   Tauchen, George ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Activity index; Jump risk premium; Leverage effect; Stochastic volatility; VIX index

Indexed keywords

EID: 79958289868     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1198/jbes.2010.08342     Document Type: Article

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