Alternative models for stock price dynamics

Journal of Econometrics

Volumn 116, Issue 1-2, 2003, Pages 225-257

  Chernov, Mikhail ^a   Gallant, A Ronald ^b   Ghysels, Eric ^b   Tauchen, George ^c  

^a The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

^b UNIVERSITY OF NORTH CAROLINA   (United States)

^c DUKE UNIVERSITY   (United States)

Author keywords

Efficient method of moments; Poisson jump processes; Stochastic volatility models

Indexed keywords

COSTS; DATA REDUCTION; ESTIMATION; MATHEMATICAL MODELS; METHOD OF MOMENTS; POISSON DISTRIBUTION; RANDOM PROCESSES;

POISSON JUMP PROCESSES; STOCHASTIC DIFFERENCE EQUATIONS (SDE);

ECONOMICS;

EID: 0242268781     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00108-8     Document Type: Article

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