A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects
Subject
Stochastic volatilityRealized volatility
Bipower variation
Jumps
Leverage effect
Return distributions
Simultaneous equation model
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https://hdl.handle.net/10161/1908Citation
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.Collections
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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
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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