The role of stochastic volatility and return jumps:...

Review of Quantitative Finance and Accounting 2007 / 07 Vol. 29; Iss. 1

The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics

In Joon Kim, In-Seok Baek, Jaesun Noh, Sol Kim
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Volume:
29
Language:
english
DOI:
10.1007/s11156-007-0022-2
Date:
July, 2007
File:
PDF, 1.16 MB
english, 2007
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