A discrete-time model for daily S & P500 returns and realized variations : jumps and leverage effects
Year of publication: |
2009
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Authors: | Bollerslev, Tim ; Kretschmer, Uta ; Pigorsch, Christian ; Tauchen, George Eugene |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 150.2009, 2, p. 151-166
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Subject: | Volatilität | Volatility | Aktienmarkt | Stock market | Mehrgleichungsmodell | Multiple equation model |
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