𝔖 Bobbio Scriptorium
✦   LIBER   ✦

ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES

✍ Scribed by GALLANT, A. RONALD; TAUCHEN, GEORGE

Book ID
121191332
Publisher
Cambridge University Press
Year
1997
Tongue
English
Weight
418 KB
Volume
1
Category
Article
ISSN
1365-1005

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Continuous-time models, realized volatil
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
✍ Torben G. Andersen; Tim Bollerslev; Per Frederiksen; Morten Ørregaard Nielsen πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 239 KB

## Abstract We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous‐time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation m