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1This paper grows out of an essay of my PhD dissertation, and is previously distributed under the title “Jump-Diffusion Term Structure and Itô Conditional Moment Generator. ” George Tauchen

By Hao Zhou, David Bates, Tim Bollerslev, Peter Christoffersen, Sanjiv Das, Lars Hansen, Michael Hemler and Nour Meddahi

Abstract

suggestions. I am also grateful to the editor René Garcia, the associate editor, and two anonymous referees for their constructive suggestions. Comments from the seminar participants at Duke

Topics: ItôConditional Moment Generator, Short Term Interest Rate, Jump-Diffusion Process, Quadratic Variance, Generalized Method of Moments, Monte Carlo Study
Year: 1998
OAI identifier: oai:CiteSeerX.psu:10.1.1.195.1985
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