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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns (JAE 2010)
Article data -  +
Article data type -
Article data used -  +
Article edition 2
Article journal [[:Category:JAE|JAE]]
Article methods and estimation -
Article origin of data used -
Article pages 233–261
Article program code -  +
Article readme -  +
Article software used -
Article year 2010
Articleauthors Torben G. Andersen + , Tim Bollerslev + , Per Frederiksen + , Morten Ørregaard Nielsen +
Articlejel C1 + , G1 +
Articlekeywords Return distributions  + , Continuous-time models  + , Mixture-of-distributions hypothesis  + , Financial-time sampling  + , High-frequency data  + , Volatility signature plots  + , Realized volatilities  + , Jumps  + , Leverage and volatility feedback effects  +
DOI [http://dx.doi.org/10.1002/jae.1105 10.1002/jae.1105]  +
EconPapers/RePEc [http://EconPapers.repec.org/RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261 RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261]  +
IDEAS/RePEc [http://ideas.repec.org/a/jae/japmet/v25y2010i2p233-261.html a/jae/japmet/v25y2010i2p233-261.html]  +
Categories Study lacking replication  + , JAE 2010 (2)  +
Modification dateThis property is a special property in this wiki. 24 October 2017 15:00:14  +
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns (JAE 2011) + redirect page
 

 

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