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A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects

Authors
Bollerslev, T
Kretschmer, U
Pigorsch, C
Tauchen, G
Repository Usage Stats
399
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0
downloads
Type
Scholarly edition
Subject
Stochastic volatility
Realized volatility
Bipower variation
Jumps
Leverage effect
Return distributions
Simultaneous equation model
Permalink
https://hdl.handle.net/10161/1908
Citation
Bollerslev, T; Kretschmer, U; Pigorsch, C; & Tauchen, G (n.d.). A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects. Retrieved from https://hdl.handle.net/10161/1908.
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Scholars@Duke

Bollerslev

Tim Bollerslev

Juanita and Clifton Kreps Distinguished Professor of Economics, in Trinity College of Arts and Sciences
Professor Bollerslev conducts research in the areas of time-series econometrics, financial econometrics, and empirical asset pricing finance. He is particularly well known for his developments of econometric models and procedures for analyzing and forecasting financial market volatility. Much of Bollerslev’s recent research has focused on the analysis of newly available high-frequency intraday, or tick-by-tick, financial data and so-called realized volatility measures, macroeconomic news annou
Tauchen

George E. Tauchen

William Henry Glasson Distinguished Professor Emeritus
George Tauchen is the William Henry Glasson Professor of Economics and professor of finance at the Fuqua School of Business. He joined the Duke faculty in 1977 after receiving his Ph.D. from the University of Minnesota. He did his undergraduate work at the University of Wisconsin. Professor Tauchen is a fellow of the Econometric Society, the American Statistical Association, the Journal of Econometrics, and the Society for Financial Econometrics (SoFie). He is also the 2003 Duke University Sc
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