Título:

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

Autores:

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

Revista:

Journal of Business and Economic Statistics

Ano:

2015

Volume:

33

Número:

1

Páginas:

68-75

Códigos JEL:

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