Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
Author:
Publisher
MIT Press - Journals
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://www.mitpressjournals.org/doi/pdf/10.1162/rest.89.4.701
Reference80 articles.
1. Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion
2. Disentangling diffusion from jumps
3. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
4. An Empirical Investigation of Continuous-Time Equity Return Models
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