Open AccessJump and Volatility Dynamics for the S&P500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets
Author(s) -
Haiyuan Yang,
Juho Kanniainen
Publication year - 2015
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2616243
Subject(s) - jump , volatility (finance) , economics , stock (firearms) , financial economics , econometrics , affine transformation , mathematics , geography , physics , quantum mechanics , pure mathematics , archaeology
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