Estimation and testing in models containing both jumps and conditional heteroscedasticity

Journal of Business and Economic Statistics

Volumn 16, Issue 2, 1998, Pages 237-243

  Drost, Feike C ^a   Nijman, Theo E ^a   Werker, Bas J M ^b  

^a TILBURG UNIVERSITY   (Netherlands)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

Author keywords

Continuous time GARCH; Exchange rates; Jump diffusion; Weak GARCH

Indexed keywords

EID: 0032331248     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1998.10524757     Document Type: Article

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