Research

An Empirical Examination of Jump Risk in U.S Equity and Bond Markets

Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This study utilizes recent advances in econometric theory to decompose total asset price volatility into a smooth, continuous component and a discrete (jump) component. We analyze a data set that consists of high-frequency tick-by-tick data for all stocks in the S

Publication Information
Article Title: An Empirical Examination of Jump Risk in U.S Equity and Bond Markets
Journal: North American Actuarial Journal (Oct, 2007)
Author(s): Dunham, Lee M;  Friesen, Geoffrey C
Researcher Information
    
Friesen, Geoffrey C
Friesen, Geoffrey C
Associate Professor of Finance
Expertise:
  • Behavioral Finance
  • Financial Institutions
  • Financial Markets & Investing
  • Insurance
Finance
CoB 425 N
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University of Nebraska-Lincoln
Lincoln, NE 68588-0490, USA
Phone: (402) 472-2334
Fax: (402) 472-5140
gfriesen2@unl.edu