Open AccessRoughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
Author(s) -
Torben G. Andersen,
Tim Bollerslev,
Francis X. Diebold
Publication year - 2005
Language(s) - English
Resource type - Reports
DOI - 10.3386/w11775
Subject(s) - volatility (finance) , jump , econometrics , computer science , economics , financial economics , physics , quantum mechanics