No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications

Journal of Econometrics

Volumn 138, Issue 1, 2007, Pages 125-180

  Andersen, Torben G ^a,c   Bollerslev, Tim ^b,c   Dobrev, Dobrislav ^a  

^a NORTHWESTERN UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Financial time sampling; High frequency data; Jump detection; Normality tests; Realized volatility

Indexed keywords

FINANCIAL DATA PROCESSING; MATHEMATICAL MODELS; MONTE CARLO METHODS; TIME SERIES ANALYSIS;

FINANCIAL TIME SAMPLING; HIGH FREQUENCY DATA; JUMP DETECTION; NORMALITY TESTS; REALIZED VOLATILITY;

ECONOMIC ANALYSIS;

EID: 33947357039     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.05.018     Document Type: Article

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