Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 29 (1994)
Issue (Month): 04 (December)
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- Marcel Prokopczuk, 2011. "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer, vol. 34(2), pages 141-168, November.
- Yin Liao & Heather Anderson & Farshid Vahid, 2010.
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- Éric Jacquier & Cédric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
- Peter Fortune, 1998. "Weekends can be rough: revisiting the weekend effect in stock prices," Working Papers 98-6, Federal Reserve Bank of Boston.
- Chilarescu, Constantin & Viasu, Iana Luciana, 2011. "Phénomènes financiers et mélange de lois : Une nouvelle méthode d’estimation des paramètres," MPRA Paper 33909, University Library of Munich, Germany.
- Chang, Kook-Hyun & Kim, Myung-Jig, 2001. "Jumps and time-varying correlations in daily foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 611-637, October.
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