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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

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Author Info
Andersen, Torben G.
Bollerslev, Tim
Dobrev, Dobrislav

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 138 (2007)
Issue (Month): 1 (May)
Pages: 125-180
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Handle: RePEc:eee:econom:v:138:y:2007:i:1:p:125-180

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  1. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," Working Papers 1173, Queen's University, Department of Economics. [Downloadable!]
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