Jump factor models in large cross‐sections
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Publication:5208562
DOI10.3982/QE1060zbMath1430.91120MaRDI QIDQ5208562
George Tauchen, Viktor Todorov, Jia Li
Publication date: 8 January 2020
Published in: Quantitative Economics (Search for Journal in Brave)
Full work available at URL: http://qeconomics.org/ojs/index.php/qe/article/download/664/656
jumps; stochastic volatility; high-frequency data; semimartingale; factor model; panel; specification test
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G30: Interest rates, asset pricing, etc. (stochastic models)
60J74: Jump processes on discrete state spaces
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