Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
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We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary substantially over time, are quite persistent, and correlate with
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美国国家经济研究局创建时间：
2004-11-01
