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

Torben Andersen, Tim Bollerslev and Dobrislav Dobrev

Journal of Econometrics, 2007, vol. 138, issue 1, 125-180

Date: 2007
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Working Paper: 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 (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:138:y:2007:i:1:p:125-180

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