Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
Year of publication: |
2007-08-16
|
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Authors: | Andersen, Torben G. ; Bollerslev, Tim ; Frederiksen, Per Houmann ; Nielsen, Morten Ørregaard |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Return distributions | continuous-time models | mixture-of-distributions hypothesis | financial-time sampling | high-frequency data | volatility signature plots | realized volatilities | jumps | leverage and volatility feedback effects |
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