Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Year of publication: |
2006
|
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Authors: | Barndorff-Nielsen, Ole E. ; Shephard, Neil G. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 131.2006, 1/2, p. 217-252
|
Subject: | Volatilität | Volatility | Prognose | Forecast | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zustandsraummodell | State space model |
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