Estimation of Jump Tails

By Tim Bollerslev, V. Todorov. 2011

131 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/b42190bc39a0b371d2566feb85a504f0ad0d91d8

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Citations in the corpus

Short-Term Market Risks Implied by Weekly Options (2017, methodology): “, the nonparametric analysis in Bollerslev and Todorov (2011). This may be explained, in part, by the limited number of actual tail risk realizations.”
Time-Varying Jump Tails (2014, methodology): “First, unlike Bollerslev and Todorov (2011b) we explicitly allow the shape of the jump tails to vary over time.”
Downside Variance Risk Premium (2015, unknown): “It is important to point out that by highlighting the disparities between upside and downside variance risk premia, and similar to Bollerslev and Todorov (2011) and Bollerslev, Todorov, and Xu (2015), our study intends to push the findings of BTZ further.”
The Risk Premia Embedded in Index Options (2015, methodology): “…year, but this is at odds with the nonparametric evidence for a gradual decay in the implied jump size for close-to-maturity OTM options in, e.g., Bollerslev and Todorov (2011b).5 This discrepancy motivates an alternative specification for the jump distribution that designates separate…”
Tail risk premia and return predictability (2014, methodology): “This mirrors the arguments behind the investor fear index proposed by Bollerslev and Todorov (2011b).(17) However, in contrast to the estimates reported in Bollerslev and Todorov (2011b), which restrict the shape of the jump tails to be time-invariant, we explicitly allow for empirically more realis”
Tails, Fears and Risk Premia (2010, methodology): “The estimation builds on the general theoretical results in Bollerslev and Todorov (2010). In particular, let”
Time-Varying Periodicity in Intraday Volatility (2019, background): “In accordance with Bollerslev and Todorov (2011), we fix the model parameters as follows, (κ1, κ2, θ , ξ1, ξ2, λJ , σ 2 j ) = (0.”
Understanding Systematic Risk: A High‐Frequency Approach (2020, unknown): “The approximate no-arbitrage condition in Chamberlain (1988) and Reisman (1992) results in only an approximate pricing statement, i.e. only the risk premia of well-diversified portfolios is explained by the systematic factor risk. Connor (1984) provides conditions under which the approximate pricing”