Estimation and testing in models containing both jumps and conditional heteroskedasticity

Feike C. Drost (), Theo Nijman and Bas Werker

No 1994-105, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: GARCH Models; econometrics (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity (1998)
Working Paper: Estimation and testing in models containing both jumps and conditional heteroskedasticity (1994)
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