Time-Varying Jump Tails ∗

@inproceedings{Bollerslev2013TimeVaryingJT,
  title={Time-Varying Jump Tails ∗},
  author={Tim Bollerslev and Viktor Todorov},
  year={2013}
}
We develop new methods for the estimation of time-varying risk-neutral jump tails in asset returns. In contrast to existing procedures based on tightly parameterized models, our approach imposes much fewer structural assumptions, relying on extreme-value theory approximations together with short-maturity options. The new estimation approach explicitly… CONTINUE READING