SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Simulation-based exact jump tests in models with conditional heteroskedasticity · Study

ArticleShelves

ArticleSimulation-based exact jump tests in models with conditional heteroskedasticity

Lynda Khalaf2003

OA

Articlegreen2003

Simulation-based exact jump tests in models with conditional heteroskedasticity

Lynda Khalaf · Jean-Daniel M. Saphores · Jean‐François Bilodeau

31 citations·0/0 files stored·Journal of Economic Dynamics and Control

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 31 citations exist upstream.

References

1976Option pricing when underlying stock returns are discontinuous 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1997Empirical Performance of Alternative Option Pricing Models 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 1991Continuous-Time Finance.

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008Forecasting commodity prices: GARCH, jumps, and mean reversionarticle · 15 shared references 2014Fact or friction: Jumps at ultra high frequencyarticle · 11 shared references 2011Fact or Friction: Jumps at Ultra High Frequencypreprint · 11 shared references 2010Pricing and Inference with Mixtures of Conditionally Normal Processespreprint · 11 shared references 2009Stochastic Volatilityother · 11 shared references 2002Nonlinear Filtering of Stochastic Differential Equations with Jumpspreprint · 11 shared references

Details

Year2003

Typearticle

Published2003-03-25

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/s0165-1889(03)00034-4

openalex_workW2014321563

Links

Imported from OpenAlex (CC0) — nothing here is generated.