Stochatic Volatility Models with Transaction Time Risk

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Name	CentER Discussion Paper
Volume	2004-24

Keywords

@techreport{06337eb0e3eb4d91baebd05af7410b36,

title = "Stochatic Volatility Models with Transaction Time Risk",

keywords = "stochastic processes, volatility, models, transaction costs",

author = "E. Renault and B.J.M. Werker",

note = "Subsequently published in Journal of Econometrics, 2011 Pagination: 28",

year = "2004",

language = "English",

volume = "2004-24",

series = "CentER Discussion Paper",

publisher = "Finance",

type = "WorkingPaper",

institution = "Finance",

}

TY - UNPB

T1 - Stochatic Volatility Models with Transaction Time Risk

AU - Renault, E.

AU - Werker, B.J.M.

N1 - Subsequently published in Journal of Econometrics, 2011 Pagination: 28

PY - 2004

Y1 - 2004

KW - stochastic processes

KW - volatility

KW - models

KW - transaction costs

M3 - Discussion paper

VL - 2004-24

T3 - CentER Discussion Paper

BT - Stochatic Volatility Models with Transaction Time Risk

PB - Finance

CY - Tilburg

ER -