On the relationship between conditional jump intensity and diffusive volatility
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jempfin.2016.04.001
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013.
"Do jumps contribute to the dynamics of the equity premium?,"
Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
- John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series 47_12, Rimini Centre for Economic Analysis.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
"Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,"
Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
- Neil Shephard & Ole Barndorff-Nielsen, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.
- Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010.
"Realised quantile-based estimation of the integrated variance,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2009. "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers 2009-27, Department of Economics and Business Economics, Aarhus University.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2010. "Realised quantile-based estimation of the integrated variance," Post-Print hal-00732538, HAL.
- Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
- Hutchinson, James M & Lo, Andrew W & Poggio, Tomaso, 1994.
"A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks,"
Journal of Finance, American Finance Association, vol. 49(3), pages 851-889, July.
- James M. Hutchinson & Andrew W. Lo & Tomaso Poggio, 1994. "A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks," NBER Working Papers 4718, National Bureau of Economic Research, Inc.
- Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.
- Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2010. "Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices," The Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 3141-3189, August.
- Chan, Wing H & Maheu, John M, 2002. "Conditional Jump Dynamics in Stock Market Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 377-389, July.
- Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012.
"Jump-robust volatility estimation using nearest neighbor truncation,"
Journal of Econometrics, Elsevier, vol. 169(1), pages 75-93.
- Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," NBER Working Papers 15533, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2010. "Jump-robust volatility estimation using nearest neighbor truncation," Staff Reports 465, Federal Reserve Bank of New York.
- Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," CREATES Research Papers 2009-52, Department of Economics and Business Economics, Aarhus University.
- Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000.
"American options with stochastic dividends and volatility: A nonparametric investigation,"
Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
- Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.
- Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June.
- Ait-Sahalia, Yacine & Duarte, Jefferson, 2003.
"Nonparametric option pricing under shape restrictions,"
Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
- Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc.
- Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224.
- Jacod, Jean, 2008. "Asymptotic properties of realized power variations and related functionals of semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 118(4), pages 517-559, April.
- Gang Li & Chu Zhang, 2010. "On the Number of State Variables in Options Pricing," Management Science, INFORMS, vol. 56(11), pages 2058-2075, November.
- John M. Maheu & Thomas H. McCurdy, 2004.
"News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns,"
Journal of Finance,
American Finance Association, vol. 59(2), pages 755-793, April.
- John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
- Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000.
"Nonparametric estimation of American options' exercise boundaries and call prices,"
Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
- Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
- Bjørn Eraker, 2004. "Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices," Journal of Finance, American Finance Association, vol. 59(3), pages 1367-1404, June.
- Cecilia Mancini, 2009. "Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(2), pages 270-296, June.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007.
"No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications,"
Journal of Econometrics, Elsevier, vol. 138(1), pages 125-180, May.
- Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev, 2007. "No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications," NBER Working Papers 12963, National Bureau of Economic Research, Inc.
- Suzanne S. Lee & Per A. Mykland, 2008. "Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2535-2563, November.
- Merton, Robert C., 1980.
"On estimating the expected return on the market : An exploratory investigation,"
Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
- Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.
- Haitao Li & Feng Zhao, 2009. "Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4335-4376, November.
- Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002.
"An Empirical Investigation of Continuous‐Time Equity Return Models,"
Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, June.
- Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
- Li, Gang & Zhang, Chu, 2013. "Diagnosing affine models of options pricing: Evidence from VIX," Journal of Financial Economics, Elsevier, vol. 107(1), pages 199-219.
- Pedro Santa-Clara & Shu Yan, 2010. "Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options," The Review of Economics and Statistics, MIT Press, vol. 92(2), pages 435-451, May.
- Viktor Todorov & George Tauchen, 2011. "Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions," Working Papers 11-21, Duke University, Department of Economics.
- Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May.
- Viktor Todorov & George Tauchen, 2012.
"The Realized Laplace Transform of Volatility,"
Econometrica, Econometric Society, vol. 80(3), pages 1105-1127, May.
- Viktor Todorov & George Tauchen, 2010. "The Realized Laplace Transform of Volatility," Working Papers 10-72, Duke University, Department of Economics.
- Ole E. Barndorff-Nielsen, 2004.
"Power and Bipower Variation with Stochastic Volatility and Jumps,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 1-37.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Power and bipower variation with stochastic volatility and jumps," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford.
- Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2011.
"Realized Laplace transforms for estimation of jump diffusive volatility models,"
Journal of Econometrics, Elsevier, vol. 164(2), pages 367-381, October.
- Viktor Todorov & Iaryna Grynkiv & George Tauchen, 2010. "Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models," Working Papers 10-75, Duke University, Department of Economics.
- repec:hal:journl:peer-00732538 is not listed on IDEAS
- Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 93-123.
- Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015.
"Modeling financial contagion using mutually exciting jump processes,"
Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
- Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
- Yacine Aït-Sahalia & Andrew W. Lo, 1998.
"Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices,"
Journal of Finance,
American Finance Association, vol. 53(2), pages 499-547, April.
- Yacine Aït-Sahalia & Andrew W. Lo, "undated". "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," CRSP working papers 332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Yacine Ait-Sahalia & Andrew W. Lo, 1995. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers 5351, National Bureau of Economic Research, Inc.
- Kristensen, Dennis, 2010.
"Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach,"
Econometric Theory, Cambridge University Press, vol. 26(1), pages 60-93, February.
- Dennis Kristensen, 2007. "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers 2007-02, Department of Economics and Business Economics, Aarhus University.
- Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.
- Marcos Escobar-Anel & Harold A. Moreno-Franco, 2019. "Dynamic portfolio strategies under a fully correlated jump-diffusion process," Annals of Finance, Springer, vol. 15(3), pages 421-453, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Li, Gang & Zhang, Chu, 2013. "Diagnosing affine models of options pricing: Evidence from VIX," Journal of Financial Economics, Elsevier, vol. 107(1), pages 199-219.
- Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S., 2020.
"High-frequency jump tests: Which test should we use?,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 478-487.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "High-Frequency Jump Tests: Which Test Should We Use?," Papers 1708.09520, arXiv.org, revised Jan 2020.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2020. "High-Frequency Jump Tests: Which Test Should We Use?," Monash Econometrics and Business Statistics Working Papers 3/20, Monash University, Department of Econometrics and Business Statistics.
- Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010.
"Threshold bipower variation and the impact of jumps on volatility forecasting,"
Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
- Fulvio Corsi & Davide Pirino & Roberto Renò, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print hal-00741630, HAL.
- Fulvio Corsi & Davide Pirino & Roberto Reno', 2010. "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting," LEM Papers Series 2010/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "Dynamic asset price jumps and the performance of high frequency tests and measures," Monash Econometrics and Business Statistics Working Papers 14/17, Monash University, Department of Econometrics and Business Statistics.
- Worapree Maneesoonthorn & Gael M Martin & Catherine S Forbes, 2018. "Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference," Monash Econometrics and Business Statistics Working Papers 17/18, Monash University, Department of Econometrics and Business Statistics.
- Liu, Yi & Liu, Huifang & Zhang, Lei, 2019. "Modeling and forecasting return jumps using realized variation measures," Economic Modelling, Elsevier, vol. 76(C), pages 63-80.
- Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2016. "Time-Varying Crash Risk: The Role of Stock Market Liquidity," Staff Working Papers 16-35, Bank of Canada.
- repec:hal:journl:peer-00741630 is not listed on IDEAS
- Fulvio Corsi & Davide Pirino & Roberto Renò, 2008.
"Volatility forecasting: the jumps do matter,"
Department of Economics University of Siena
534, Department of Economics, University of Siena.
- Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series gd08-036, Institute of Economic Research, Hitotsubashi University.
- Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
- Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014.
"Fact or friction: Jumps at ultra high frequency,"
Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2011. "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers 2011-19, Department of Economics and Business Economics, Aarhus University.
- Du Du & Dan Luo, 2019. "The Pricing of Jump Propagation: Evidence from Spot and Options Markets," Management Science, INFORMS, vol. 67(5), pages 2360-2387, May.
- Zhou, Chunyang & Wu, Chongfeng & Wang, Yudong, 2019. "Dynamic portfolio allocation with time-varying jump risk," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 113-124.
- Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011.
"A reduced form framework for modeling volatility of speculative prices based on realized variation measures,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
- Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, Department of Economics and Business Economics, Aarhus University.
- Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2010.
"Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
- Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Morten Ø. Nielsen & Per Houmann Frederiksen & Torben G. Andersen, 2008. "Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns," Working Paper 1173, Economics Department, Queen's University.
- Audrino, Francesco & Fengler, Matthias R., 2015.
"Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data,"
Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
- Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
- Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017.
"The contribution of jumps to forecasting the density of returns,"
Documents de travail du Centre d'Economie de la Sorbonne
17006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01442618, HAL.
- Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011.
"Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
- Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019.
"Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets,"
Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
- Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015. "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 38-56.
- Haigang Zhou & John Zhu, 2011. "Jump risk and cross section of stock returns: evidence from China’s stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 309-331, July.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:empfin:v:37:y:2016:i:c:p:196-213. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jempfin .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.