Testing for Volatility Jumps in the Stochastic Volatility Process

Masahito Kobayashi

Asia-Pacific Financial Markets, 2005, vol. 12, issue 2, 143-157

Keywords: jump process; Lagrange multiplier test; stochastic volatility process (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10690-006-9016-7

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