Andersen, Torben; Bollerslev, Tim; Frederiksen, Per; … - 2008
context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly … specification of empirically more realistic continuous-time asset pricing models. On applying the tests to the thirty individual … stocks in the Dow Jones Industrial Average index, we find that it is important to allow for both time-varying diffusive …