Bossaert, Peter; Ghysels, Eric; Gouriéroux, Christian - Centre Interuniversitaire de Recherche en Analyse des … - 1996
One of the early examples of stochastic volatility models is Clark [1973]. He suggested that asset price movements should be tied to the rate at which transactions occur. To accomplish this, he made a distinction between transaction time and calendar time. This framework has hitherto been...