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Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing

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  • Kim, Myung-Jig
  • Oh, Young-Ho
  • Brooks, Robert

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 29 (1994)
Issue (Month): 04 (December)
Pages: 609-631

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Handle: RePEc:cup:jfinqa:v:29:y:1994:i:04:p:609-631_00

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Cited by:
  1. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
  2. Yin Liao & Heather M. Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers 11/10, Monash University, Department of Econometrics and Business Statistics.
  3. Éric Jacquier & Cédric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
  4. Jon Danielsson & Jean-Pierre Zigrand, 2003. "On time-scaling of risk and the square–root–of–time rule," LSE Research Online Documents on Economics 24827, London School of Economics and Political Science, LSE Library.
  5. J.W. Nieuwenhuis & M.H. Vellekoop, 2004. "Weak convergence of tree methods, to price options on defaultable assets," Decisions in Economics and Finance, Springer, vol. 27(2), pages 87-107, December.
  6. Peter Fortune, 1998. "Weekends can be rough: revisiting the weekend effect in stock prices," Working Papers 98-6, Federal Reserve Bank of Boston.
  7. Peter Fortune, 1999. "Are stock returns different over weekends? a jump diffusion analysis of the "weekend effect"," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-19.
  8. Consigli, Giorgio, 2002. "Tail estimation and mean-VaR portfolio selection in markets subject to financial instability," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1355-1382, July.
  9. Sanghoon Lee, 2004. "Approximation of A Jump-Diffusion Process," Econometric Society 2004 Far Eastern Meetings 412, Econometric Society.
  10. 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.
  11. 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.
  12. 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.

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