A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects
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Simultaneous equation model
CitationBollerslev, 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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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
William Henry Glasson Distinguished Professor of Economics
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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