A Discrete-Time Model for Daily S & P500 Returns and Realized Variations: Jumps and Leverage Effects


Bollerslev, Tim ; Pigorsch, Uta ; Pigorsch, Christian ; Tauchen, George



DOI: https://doi.org/10.1016/j.jeconom.2008.12.001
URL: https://www.sciencedirect.com/science/article/pii/...
Additional URL: http://public.econ.duke.edu/~boller/Published_Pape...
Document Type: Article
Year of publication: 2009
The title of a journal, publication series: Journal of Econometrics
Volume: 150
Issue number: 2
Page range: 151-166
Place of publication: Amsterdam [u.a.]
Publishing house: Elsevier
ISSN: 0304-4076
Publication language: English
Institution: School of Law and Economics > Angewandte Ökonometrie (Juniorprofessur) (Pigorsch)
Subject: 330 Economics

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Bollerslev, Tim ; Pigorsch, Uta ; Pigorsch, Christian ; Tauchen, George (2009) A Discrete-Time Model for Daily S & P500 Returns and Realized Variations: Jumps and Leverage Effects. Journal of Econometrics Amsterdam [u.a.] 150 2 151-166 [Article]


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