U.S. Stock Market Crash Risk, 1926-2006
收藏NBER2009-04-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w14913
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资源简介：
This paper applies the Bates (RFS, 2006) methodology to the problem of estimating and filtering time- changed Lvy processes, using daily data on U.S. stock market excess returns over 1926-2006. In contrast to density-based filtration approaches, the methodology recursively updates the associated
提供机构：
美国国家经济研究局
创建时间：
2009-04-01
