Blar i Scientific articles på tidsskrift "Journal of Financial Econometrics"
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Risk Estimation with a Time-Varying Probability of Zero Returns
(Journal article; Peer reviewed, 2020)The probability of an observed financial return being equal to zero is not necessarily zero, or constant. In ordinary models of financial return, however, e.g. ARCH, SV, GAS and continuous-time models, the zero-probability ...