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

DOI10.1016/j.jeconom.2006.05.018zbMath1418.62371OpenAlexW2891484854MaRDI QIDQ277161

Tim Bollerslev, Dobrislav Dobrev, Torben G. Andersen

Publication date: 4 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w12963.pdf

zbMATH Keywords

high-frequency datarealized volatilityfinancial time samplingjump detectionnormality tests

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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