A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
| Year of publication: |
2009
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|---|---|
| Authors: | Bollerslev, Tim ; Kretschmer, Uta ; Pigorsch, Christian ; Tauchen, George |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 1848616. - Vol. 150.2009, 2, p. 151-166
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