Conditional jump dynamics in stock market returns

Journal of Business and Economic Statistics

Volumn 20, Issue 3, 2002, Pages 377-389

  Chan, Wing H ^a   Maheu, John M ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Conditional intensity; Filter; Jump size

Indexed keywords

EID: 0035998181     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500102288618513     Document Type: Article

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