Estimation and testing in models containing both jumps and conditional heteroskedasticity

Keyphrases

• Conditional Heteroskedasticity 100%
• Stock Market Index 100%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 100%
• Weak Assumption 50%
• Discrete-time 50%
• Variance Parameter 50%
• Currency Exchange Rate 50%
• Monte Carlo 50%
• Spot Price 50%
• Arbitrary Frequency 50%
• Exchange Market 50%
• Derivative Pricing 50%
• Conditional Distribution 50%
• Kurtosis Parameter 50%
• Power Properties 50%
• Diffusion Process 50%
• Between-variance 50%

Economics, Econometrics and Finance

• Generalized Autoregressive Conditional Heteroskedasticity 100%
• Conditional Heteroskedasticity 100%
• Stock Index 100%
• Exchange Rate 100%
• Derivative Pricing 50%
• Kurtosis 50%
• Price 50%