Jump Regressions

DOI10.3982/ECTA12962zbMath1410.62205OpenAlexW4213047445MaRDI QIDQ4612493

George Tauchen, Jia Li, Viktor Todorov

Publication date: 31 January 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta12962

zbMATH Keywords

jumpsstochastic volatilityefficient estimationregressionhigh-frequency datasemimartingalespecification testLAMN

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) General nonlinear regression (62J02)

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