A discrete-time model for daily S&P500 returns and realized variations : jumps and leverage effects
Tim Bollerslev; Uta Kretschmer; Christian Pigorsch; George Tauchen
| Year of publication: |
2005
|
|---|---|
| Authors: | Bollerslev, Tim ; Kretschmer, Uta ; Pigorsch, Christian ; Tauchen, George Eugene |
| Publisher: |
Durham, NC : Duke Univ., Dep. of Economics |
| Subject: | Volatilität | Volatility | Aktienmarkt | Stock market | Mehrgleichungsmodell | Multiple equation model | Kapitaleinkommen | Capital income |
| Extent: | Online-Ressource (43 S.) graph. Darst. |
|---|---|
| Series: | ERID working paper. - Durham, NC, ZDB-ID 2670065-7. - Vol. 6 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010218862