Work

The jump component of S&P 500 volatility and the VIX index

Year: 2008

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2008.10.015

Authors: Ralf Becker, Adam E. Clements, Andrew McClelland

Institutions: University of Manchester, Queensland University of Technology

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2135472182

FWCI: 16.83

Cites: 22

Cited by: 143

Related to: 10