Jump Regressions
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Publication:4612493
DOI10.3982/ECTA12962zbMath1410.62205OpenAlexW4213047445MaRDI QIDQ4612493
George Tauchen, Jia Li, Viktor Todorov
Publication date: 31 January 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta12962
jumpsstochastic volatilityefficient estimationregressionhigh-frequency datasemimartingalespecification testLAMN
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