RoughingItUp.PDFVIP

Andersen, T.G., Bollerslev, T. and Diebold, F.X. (2006), Roughing it Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility, Review of Economics and Statistics, forthcoming. Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility* Torben G.