Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
Publication
, Journal Article
Andersen, TG; Bollerslev, T; Diebold, FX
Published in: CREATES Research Paper
August 16, 2007
Duke Scholars
Published In
CREATES Research Paper
Publication Date
August 16, 2007
Issue
2007
Related Subject Headings
- Economics
- 3802 Econometrics
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1403 Econometrics
- 1402 Applied Economics
Citation
APA
Chicago
ICMJE
MLA
NLM
Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007). Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. CREATES Research Paper, (2007).
Andersen, Torben G., Tim Bollerslev, and Francis X. Diebold. “Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.” CREATES Research Paper, no. 2007 (August 16, 2007).
Andersen TG, Bollerslev T, Diebold FX. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. CREATES Research Paper. 2007 Aug 16;(2007).
Andersen, Torben G., et al. “Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.” CREATES Research Paper, no. 2007, Aug. 2007.
Andersen TG, Bollerslev T, Diebold FX. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. CREATES Research Paper. 2007 Aug 16;(2007).
Published In
CREATES Research Paper
Publication Date
August 16, 2007
Issue
2007
Related Subject Headings
- Economics
- 3802 Econometrics
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1403 Econometrics
- 1402 Applied Economics