Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
Year of publication: |
2005-11
|
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Authors: | Bollerslev, Tim ; Diebold, Francis ; Andersen, Torben G. |
Institutions: | National Bureau of Economic Research (NBER) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | AP published as Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, 04. Number 11775 |
Classification: | C1 - Econometric and Statistical Methods: General ; G1 - General Financial Markets |
Source: |
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