Stochatic Volatility Models with Transaction Time Risk

Eric Renault and Bas Werker

No 2004-24, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: stochastic processes; volatility; models; transaction costs (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://repository.tilburguniversity.edu/bitstream ... e92743a30e0/download (application/pdf)

Related works:
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:tiu:tiucen:06337eb0-e3eb-4d91-baeb-d05af7410b36

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Bibliographic data for series maintained by Richard Broekman ().