A discrete-time model for daily S & P500 returns and realized variations : jumps and leverage effects
Tim Bollerslev; Uta Kretschmer; Christian Pigorsch; George Tauchen
| Year of publication: |
2009
|
|---|---|
| Authors: | Bollerslev, Tim ; Kretschmer, Uta ; Pigorsch, Christian ; Tauchen, George Eugene |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 150.2009, 2, p. 151-166
|
| Subject: | Volatilität | Volatility | Aktienmarkt | Stock market | Mehrgleichungsmodell | Multiple equation model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003858496