Bipower variation with jumps and correlated returns
Yunpeng Duan; Yi Xue
| Year of publication: |
2014
|
|---|---|
| Authors: | Duan, Yunpeng ; Xue, Yi |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 125.2014, 3, p. 367-371
|
| Subject: | Bipower variation | Fractal Brownian motion | Volatility | Jump | Volatilität | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory |
| 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/10010506017