Testing for Volatility Jumps in the Stochastic Volatility Process
| Year of publication: |
2005
|
|---|---|
| Authors: | Kobayashi, Masahito |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 12.2005, 2, p. 143-157
|
| Publisher: |
Springer |
| Subject: | jump process | Lagrange multiplier test | stochastic volatility process |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005727058