无套利半鞅约束:考虑杠杆效应、跳跃和独立同分布噪声的连续时间波动率模型:理论与可检验的分布含义

No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications

Journal of Econometrics · 2006
被引 306
人大 AABS 4
计量经济学金融波动率建模非参数统计金融时间序列