Time-Varying Jump Tails

By Tim Bollerslev, V. Todorov. 2014

86 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/211a53b7d35bea3c0ebe3e0382815c7fed5ca240

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In Finance

1. Tim Bollerslev
2. V. Todorov
3. Torben G. Andersen
4. Nicola Fusari
5. Lai Xu
6. Andrew J. Patton
7. George Tauchen
8. Kevin Sheppard

Citations in the corpus

• The Risk Premia Embedded in Index Options (2015, methodology): “10In principle, some of the remaining valuation problems can be rectified via a time-varying jump tail index, i.e., allowing the parameter λ− to vary, see, e.g., the nonparametric evidence in Bollerslev and Todorov (2013).”
• Tail risk premia and return predictability (2014, methodology): “It then follows from Bollerslev and Todorov (2014) that for τ↓0 and ko0, ert;τOt;τðkÞ=Ft ;τ τϕ t ekð1þα t Þ=ðα t ðα t þ1ÞÞ, while for k40, ert;τOt;τðkÞ=Ft ;τ τϕþt ekð1 α þ t Þ=ðαþt ðαþt 1ÞÞ.”