Essays on variance risk, jump risk and options information
Both volatility and the tail of the stock return distribution are impacted by discontinuities ("large jumps") in the stock price process. In the first chapter, "The Tail in the Volatility Index"1, we construct model-free volatility and tail indexes in a manner that clearly distin...
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| Language: | ENG |
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ScholarWorks@UMass Amherst
2012
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| Online Access: | https://scholarworks.umass.edu/dissertations/AAI3545919 |