Testing for Volatility Jumps in the Stochastic Volatility Process
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Volume (Year): 12 (2005)
Issue (Month): 2 (June)
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References listed on IDEAS
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"Testing When a Parameter Is on the Boundary of the Maintained Hypothesis,"
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- Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
- Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238. Full references (including those not matched with items on IDEAS)