Title:

Empirical Analysis of Affine versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices

Authors:

Katja Ignatieva (U New South Wales)
Paulo Rodrigues (U Maastricht)
Norman Seeger (U Amsterdam)

Journal:

Journal of Business and Economic Statistics

Year:

2015

Volume:

33

Number:

1

Pages:

68-75

JEL codes:

C58 - Financial Econometrics
G1 - General Financial Markets
G12 - Asset Pricing; Trading volume; Bond Interest Rates