Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects

Eric Ghysels () and Joann Jasiak

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Keywords: RISK; CONTRACTS (search for similar items in EconPapers)
Date: Written 1994
View citations in EconPapers

Downloads: (external link)
http://hdl.handle.net/1866/2096 (application/pdf)

Related works:
Working Paper: Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects (1994)
Working Paper: Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects (1995)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Persistent link: http://EconPapers.repec.org/RePEc:mtl:montde:9403

Access Statistics for this paper

More papers in Cahiers de recherche from Universite de Montreal, Departement de sciences economiques
Contact information at EDIRC.
Series data maintained by Sharon BREWER ().