EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: View citations in EconPapers (132) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4076(06)00091-1
Full text for ScienceDirect subscribers only

Related works:
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) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-08-23
Handle: RePEc:eee:econom:v:138:y:2007:i:1:p:125-180