The role of jump dynamics in the risk–return relationship
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DOI: 10.1016/j.irfa.2012.11.004
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Citations
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Cited by:
- Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
- Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014.
"Price jumps on European stock markets,"
Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
- Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
- Ahmed, Walid M.A., 2020. "Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin," Journal of Economics and Business, Elsevier, vol. 108(C).
- Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
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More about this item
Keywords
Time-varying risk premium; Mixed GARCH; Jump diffusion model;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
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