Bollerslev, Tim; Todorov, Viktor - 2009
from \medium" size jumps
in high-frequency intraday prices and an extreme value theory approximation for the
corresponding …, extreme value
theory, equity risk premium, variance risk premium.
JEL classiflcation: C13, C14, G10, G12.
⁄We would like to … on new extreme value theory in Bollerslev and Todorov (2009), we
use the relatively frequent \medium" size jumps in high …