Stochatic Volatility Models with Transaction Time Risk

E. Renault, B.J.M. Werker

Research output: Working paperDiscussion paperOther research output

260 Downloads (Pure)
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages28
Volume2004-24
Publication statusPublished - 2004

Publication series

NameCentER Discussion Paper
Volume2004-24

Keywords

  • stochastic processes
  • volatility
  • models
  • transaction costs

Cite this

Renault, E., & Werker, B. J. M. (2004). Stochatic Volatility Models with Transaction Time Risk. (CentER Discussion Paper; Vol. 2004-24). Finance.