5720.
Jump variance risk: Evidence from option valuation and stock returns
Chang, Hsuan‐Ling; Chang, Yen‐Cheng; Cheng, Hung‐Wen; Peng, Po‐Hsiang; Tseng, Kevin
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2019-04-22
[Graduate Institute & Department of Banking and Finance] Journal Article The Journal of Futures Markets 39(7), p.890-915
risk, nonmonotonic pricing kernel, option valuation, return predictability
There is now overwhelming evidence that aggregate market return has time
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