Code and Data Sample for JFE Article "The Jump Leverage Risk Premium"

Published: 18 September 2023| Version 1 | DOI: 10.17632/hgxc3rbzvm.1
Contributor:
viktor todorov

Description

This replication package includes (1) simulated option data and (2) code that uses the simulated option data over one day at high frequency to estimate the key measures in the paper "The Jump Leverage Risk Premium".

Files

Steps to reproduce

please refer to README.pdf

Categories

Finance

Licence