A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
Version of Record online: 22 NOV 2013
© 2013 The Author(s). The Econometrics Journal © 2013 Royal Economic Society.
The Econometrics Journal
Volume 16, Issue 3, pages 309–339, October 2013
How to Cite
Qu, Z. and Perron, P. (2013), A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices. The Econometrics Journal, 16: 309–339. doi: 10.1111/j.1368-423X.2012.00394.x
- Issue online: 22 NOV 2013
- Version of Record online: 22 NOV 2013
- Accepted manuscript online: 9 OCT 2012 05:30AM EST
- Manuscript Accepted: OCT 2012
- Manuscript Received: JUN 2011
- National Science Foundation. Grant Number: SES-0649350
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