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Essays on jumps and common jumps in financial volatility

Liao, Yin


This dissertation consists of three essays that contribute to the literature on jumps in financial volatility. Jumps have far-reaching implications for financial endeavors such as asset pricing, risk management, and portfolio allocation, and therefore it is important to document their occurrence and develop techniques and models that can be used to study their behavior. This dissertation firstly examines the different roles that jumps and the continuous component of an asset's price process can...[Show more]

CollectionsOpen Access Theses
Date published: 2011
Type: Thesis (PhD)
DOI: 10.25911/5d611bf61fdf4
Access Rights: Open Access


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