No-arbitrage semi-Martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise
Subtitle: theory and testable distributional implications
By: Torben G. Andersen, Tim Bollerslev, Dobrislav Dobrev.
Contributors: Bollerslev, Tim, 1958-; Dobrev, Dobrislav.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 12963.; Working paper series (National Bureau of Economic Research) -- working paper no. 12963.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 32
Subjects: Economic forecasting
Notes: "March 2007"

Includes bibliographical references.

Also available in PDF from the NBER world wide web site (www.nber.org).