No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications
收藏NBER2007-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w12963
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资源简介：
We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and leverage
提供机构：
美国国家经济研究局
创建时间：
2007-03-01
