No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications-Reference-Cited by-同舟云学术

No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications

Published:2007-05 Issue:1 Volume:138 Page:125-180
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Andersen Torben G.,Bollerslev Tim,Dobrev Dobrislav

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference88 articles.

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4. Andersen, T.G., 1992. Volatility. Manuscript, Northwestern University.

5. Return volatility and trading volume: an information flow interpretation of stochastic volatility;Andersen;Journal of Finance,1996

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