No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
| Year of publication: |
2007
|
|---|---|
| Authors: | Andersen, Torben G. ; Bollerslev, Tim ; Dobrev, Dobrislav |
| Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 138.2007, 1, p. 125-180
|
| Publisher: |
Elsevier |