No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise : theory and testable distributional implications
Torben G. Andersen; Tim Bollerslev; Dobrislav Dobrev
| Year of publication: |
2007
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|---|---|
| Authors: | Andersen, Torben ; Bollerslev, Tim ; Dobrev, Dobrislav |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 138.2007, 1, p. 125-180
|
| Subject: | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Volatilität | Volatility | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003451756