Jump tails, extreme dependencies, and the distribution of stock returns-Reference-Cited by-同舟云学术

Jump tails, extreme dependencies, and the distribution of stock returns

Published:2013-02 Issue:2 Volume:172 Page:307-324
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Bollerslev Tim,Todorov Viktor,Li Sophia Zhengzi

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference59 articles.

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5. No-arbitrage semimartingale restrictions for continuous-time volatilities models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications;Andersen;Journal of Econometrics,2007

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