No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise : theory and testable distributional implications
Year of publication: |
2007
|
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Authors: | Andersen, Torben ; Bollerslev, Tim ; Dobrev, Dobrislav |
Publisher: |
Cambridge, Mass. : National Bureau of Economic Research |
Subject: | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Volatilität | Volatility | ARCH-Modell | ARCH model |
Extent: | 32, [30] S. graph. Darst. |
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Series: | Working paper / National Bureau of Economic Research, Inc.. - Cambridge, Mass. : National Bureau of Economic Research, Inc., ISSN 0898-2937, ZDB-ID 1223905-7. - Vol. 12963 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Internetausg.: http://papers.nber.org/papers/w12963.pdf - lizenzpflichtig |
Source: | ECONIS - Online Catalogue of the ZBW |
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