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| Author: | Carr, P. (et al.) |
| Title: | The fine structure of asset returns: an empirical investigation |
| Journal: | Journal of Business
2002 : APR, VOL. 75: 2, p. 305-332 |
| Index terms: | ASSETS DIFFUSION RETURN ON INVESTMENT |
| Freeterms: | JUMPS |
| Language: | eng |
| Abstract: | The authors investigate the importance of diffusion and jumps in a new model for asset returns. In contrast to standard models, they allow for jump components displaying finite or infinite activity and variation. Empirical investigations of time series indicate that index dynamics are devoid of a diffusion component, which may be present in the dynamics of individual shocks. |
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