Title:

Equity Index Variance: Evidence from Flexible Parametric Jump-Diffusion Models

Authors:

Andreas Kaeck (U Sussex)
Paulo Rodrigues (U Maastricht)
Norman J. Seeger (Vrije Universiteit Amsterdam)

Journal:

Journal of Banking and Finance

Year:

2017

Volume:

83

Pages:

85-103

JEL codes:

C51 - Model Construction and Estimation
C58 - Financial Econometrics
G11 - Portfolio Choice; Investment Decisions
G12 - Asset Pricing; Trading volume; Bond Interest Rates