Disentangling diffusion from jumps

Journal of Financial Economics

Volumn 74, Issue 3, 2004, Pages 487-528

  Aït Sahalia, Yacine ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

Cauchy jumps; Diffusion; L vy process; Maximum likelihood; Poisson jumps

Indexed keywords

EID: 7744220299     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2003.09.005     Document Type: Article

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