AUTOREGRESSIVE JUMP PROCESS FOR COMMON STOCK RETURNS

被引：44
|
作者：
OLDFIELD, GS
ROGALSKI, RJ
JARROW, RA
机构：
[1] CORNELL UNIV, ITHACA, NY 14853 USA
[2] DARTMOUTH COLL, HANOVER, NH 03755 USA
[3] MIT, CAMBRIDGE, MA 02139 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 1977年 / 5卷 / 03期
关键词：
D O I：
10.1016/0304-405X(77)90045-9
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：389 / 418
页数：30
相关论文
共 50 条
  • [21] Common stock returns in the pre-WWI Berlin Stock Exchange
    Fohlin, Caroline
    Reinhold, Steffen
    [J]. CLIOMETRICA, 2010, 4 (01) : 75 - 96
  • [22] Common stock returns in the pre-WWI Berlin Stock Exchange
    Caroline Fohlin
    Steffen Reinhold
    [J]. Cliometrica, 2010, 4 : 75 - 96
  • [23] EXPOSURE TO COMMON IDIOSYNCRATIC VOLATILITY ON STOCK RETURNS IN ASEAN STOCK MARKETS
    Noviayanti, Pratiwi
    Husodo, Zaafri
    [J]. INTERNATIONAL JOURNAL OF BUSINESS AND SOCIETY, 2018, 19 : 499 - 516
  • [24] A NOTE ON ESTIMATING THE PARAMETERS OF THE DIFFUSION-JUMP MODEL OF STOCK RETURNS
    BECKERS, S
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1981, 16 (01) : 127 - 140
  • [25] News arrival, jump dynamics, and volatility components for individual stock returns
    Maheu, JM
    McCurdy, TH
    [J]. JOURNAL OF FINANCE, 2004, 59 (02): : 755 - 793
  • [26] Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns
    Cremers, Martijn
    Halling, Michael
    Weinbaum, David
    [J]. JOURNAL OF FINANCE, 2015, 70 (02): : 577 - 614
  • [27] Jump variance risk: Evidence from option valuation and stock returns
    Chang, Hsuan-Ling
    Chang, Yen-Cheng
    Cheng, Hung-Wen
    Peng, Po-Hsiang
    Tseng, Kevin
    [J]. JOURNAL OF FUTURES MARKETS, 2019, 39 (07) : 890 - 915
  • [28] Jump risk and cross section of stock returns: Evidence from China's stock market
    Zhou H.
    Zhu J.Q.
    [J]. Journal of Economics and Finance, 2011, 35 (3) : 309 - 331
  • [29] What makes the stock market jump? An analysis of political risk on Hong Kong stock returns
    Kim, HY
    Mei, JPP
    [J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2001, 20 (07) : 1003 - 1016
  • [30] LONG-TERM DEPENDENCE IN COMMON STOCK RETURNS
    GREENE, MT
    FIELITZ, BD
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 1977, 4 (03) : 339 - 349
12345