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标题:Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
时间:2019-02-11 23:30:58
DOI:10.1002/jae.1105
作者:Torben G. Andersen;Tim Bollerslev;Per Frederiksen;Morten Ørregaard Nielsen
出版源: 《Journal of Applied Econometrics》 ,2010 ,25 (2) :233–261
摘要:Continuous-time models, realized volatilities, and testable distributional implications for daily stock returnsReturn distributionscontinuous-time modelsmixture-of-distributions hypothesisfinancial-time samplinghigh-frequency datavolatility signature plotsrealized volatilitiesjumpsleverage and volatility feedback effectsAbstract We provide an empirical framework for assessing the distributional ...
大小:334 kb
页数:30 PAGES
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