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
|
|---|---|
| Authors: | Andersen, Torben G. ; Bollerslev, Tim ; Dobrev, Dobrislav |
| Published in: |
Working paper / National Bureau of Economic Research, Inc. - Cambridge, Mass, ISSN 0898-2937, ZDB-ID 12239057. - 2007, 12963
|