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Durham et al., 2013 - Google Patents

Beyond stochastic volatility and jumps in returns and volatility

Durham et al., 2013

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Document ID
15420691252426917364
Author
Durham G
Park Y
Publication year
Publication venue
Journal of Business & Economic Statistics

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Snippet

While a great deal of attention has been focused on stochastic volatility in stock returns, there is strong evidence suggesting that return distributions have time-varying skewness and kurtosis as well. Under the risk-neutral measure, for example, this can be observed from …
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