Testing for volatility jumps in the stochastic volatility process
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Publication:862565
DOI10.1007/s10690-006-9016-7zbMath1134.91435MaRDI QIDQ862565
Publication date: 24 January 2007
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-006-9016-7
91B70: Stochastic models in economics
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Testing for volatility jumps in the stochastic volatility process, Leverage, heavy-tails and correlated jumps in stochastic volatility models
Cites Work
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