The Fine Structure of Asset Returns : An Empirical
نویسندگان
چکیده
Asset returns have been modeled in continuous time as diffusions by Black and Scholes (1973) and Merton (1973), as pure jump processes by Cox and Ross (1976), and as jump-diffusions by Merton (1976). The jump processes studied by Cox and Ross display finite activity, while some recent research has considered some pure jump processes with infinite activity. Two examples of these infinite-activity pure jump processes
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The Fine Structure of Asset Returns: An Empirical Investigation¤
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