Estimation and testing in models containing both jumps and conditional heteroskedasticity

Feike C. Drost (), T.E. Nijman and B.J.M. Werker
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T.E. Nijman: Tilburg University, School of Economics and Management
B.J.M. Werker: Tilburg University, School of Economics and Management

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Date: 1994
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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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