An Empirical Investigation of Continuous-Time Equity Return Models
收藏NBER2001-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w8510
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资源简介：
This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a
提供机构：
美国国家经济研究局
创建时间：
2001-10-01
