Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 5 of 5 for “"jump risk"”.
-
Three Essays on Asset Pricing
… commodity markets, and specifically about the risk premiums in these markets and investor preferences. In the first essay, I use an option-based approach to characterize idiosyncratic jump risk for a large number of firms over a twenty-year period. I find that idiosyncratic jump risk carries a …
-
Two Papers of Financial Engineering Relating to the Risk of the 2007--2008 Financial Crisis
… Arbitrage Pricing Theory to characterize the risk premiums of futures contracts on real estate assets. We also provide rigorous econometric analysis of the new models. Empirical study shows there exists significant spatial interaction among the S&P/Case-Shiller Home Price Index futures …
-
What About Short Run?
… the short-lived temporal variation of the equity risk premium. In the past decade, the equity risk premium puzzle is resolved by many competing consumption-based asset pricing models. However, before \cite{btz:vrp:rfs}, the return predictability as an outcome of such models has limited empirical …
-
Essays in Financial Economics
… in addition to well-known equity premium and the risk-free rate puzzles.</p><p>Equally surprising is the recent evidence on large moves in asset prices, and the over-pricing of the out-of-the-money index put options relative to standard models. In this work, I argue that the long-run risks type …
-
Price jumps and volatility in U.S. agricultural futures markets
… supply. The second essay demonstrates that jumps in corn futures prices have increased with electronic trading and the shift to real-time announcement of USDA reports. Using intraday prices from 2008 to 2015, we employ a nonparametric test to detect jumps and variance analysis to estimate …