A continuous-time arbitrage-pricing model with stochastic volatility and jumps

Journal of Business and Economic Statistics

Volumn 14, Issue 1, 1996, Pages 31-43

  Ho, Mun S ^a   Perraudin, William R M ^b   Sørensen, Bent E ^c  

^a HARVARD UNIVERSITY   (United States)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^c BROWN UNIVERSITY   (United States)

Author keywords

Factor model; Generalized method of moments; Martingale measure; Stock return distribution; Time aggregation

Indexed keywords

EID: 0030525413     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1996.10524627     Document Type: Article

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