Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes

Ole Barndorff-Nielsen and Neil Shephard ()

Journal of Econometrics, 2006, vol. 131, issue 1-2, 217-252

Date: 2006
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Citations: View citations in EconPapers (34)

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Working Paper: Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:131:y:2006:i:1-2:p:217-252

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