A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects
| dc.contributor.author | Bollerslev, T | |
| dc.contributor.author | Kretschmer, U | |
| dc.contributor.author | Pigorsch, C | |
| dc.contributor.author | Tauchen, G | |
| dc.date.accessioned | 2010-03-09T15:29:29Z | |
| dc.identifier.uri | ||
| dc.language.iso | en_US | |
| dc.publisher | Elsevier BV | |
| dc.subject | Stochastic volatility | |
| dc.subject | Realized volatility | |
| dc.subject | Bipower variation | |
| dc.subject | Jumps | |
| dc.subject | Leverage effect | |
| dc.subject | Return distributions | |
| dc.subject | Simultaneous equation model | |
| dc.title | A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects | |
| dc.type | Scholarly edition | |
| pubs.organisational-group | Duke | |
| pubs.organisational-group | Economics | |
| pubs.organisational-group | Trinity College of Arts & Sciences |