A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects

Journal of Econometrics

Volumn 150, Issue 2, 2009, Pages 151-166

  Bollerslev, Tim ^a   Kretschmer, Uta ^b   Pigorsch, Christian ^c   Tauchen, George ^a  

^a DUKE UNIVERSITY   (United States)

^b UNIVERSITY OF MANNHEIM   (Germany)

^c UNIVERSITY OF BONN   (Germany)

Author keywords

Bipower variation; Jumps; Leverage effect; Realized volatility; Simultaneous equation model

Indexed keywords

BIPOWER VARIATION; JUMPS; LEVERAGE EFFECT; REALIZED VOLATILITY; SIMULTANEOUS EQUATION MODEL;

CONTINUOUS TIME SYSTEMS; FREQUENCY ESTIMATION; RANDOM PROCESSES;

STOCHASTIC MODELS;

EID: 67349251861     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.001     Document Type: Article

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