Garland Durham

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Scholarly Papers (1)

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Beyond Stochastic Volatility and Jumps in Returns and Volatility

Journal of Business and Economic Statistics, Vol. 31, No. 1, pp. 107-121, 2013
Posted: 02 Oct 2015
Garland Durham and Yang-Ho Park
Independent and Board of Governors of the Federal Reserve System

Abstract:

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Jump intensity, Leverage effect, Option pricing, Regime switching, return distributions, skewness, stock price dynamics