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Finance / Volatility / Realized variance / Jump diffusion / Local volatility / Autoregressive conditional heteroskedasticity / Implied volatility / Jump process / Stochastic volatility / Mathematical finance / Statistics / Financial economics


Realized Jumps on Financial Markets and Predicting Credit Spreads
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Document Date: 2006-10-24 13:00:39

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City

Montreal / Beijing / /

Company

Diebold / Economics Discussion Series / Moody's Investors Service / Inc / /

Country

United States / /

Currency

pence / /

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Event

Credit Rating / /

Facility

Duke University / /

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IndustryTerm

finance / /

Organization

Duke University / Federal Reserve Board / Division of Research and Statistics / Durham NC / Department of Economics / Board of Governors / /

Person

Tim Bollerslev / Chun Liu / Mike Gibson / Spreads George Tauchen / George Tauchen / Jonathan Wright / Huang / Hao Zhou / /

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Position

author / rt / representative / unconditional Rt / /

ProgrammingLanguage

J / /

RadioStation

2.4 When / /

Technology

simulation / /

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