Listar Artículos de revista DGE - EKS Aldizkari artikuluak por tema "Jumps"
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Further empirical evidence on stochastic volatility models with jumps in returns
González Urteaga, Ana
(Elsevier España, S.L., 2012)
Artículo / Artikulua 
Using the Efficient Method of Moments we estimate a continuous time diffusion for the stochastic volatility of some international stock market indices that allows for possible jumps in returns. These jumps are needed for ... -
Momentum and default risk. Some results using the jump component
González Urteaga, Ana ; Muga Caperos, Luis Fernando ; Santamaría Aquilué, Rafael (Elsevier, 2015)
Artículo / Artikulua
In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend ...
