volume 4, issue 3, P615-636 1998
DOI: 10.1017/s1357321700000143
View full text
P.P. Huber

Abstract: This paper considers some of the properties of the jump-equilibrium model suggested by Smith (1996). A more detailed description of the model's derivation is provided. The model is represented in a discrete time format and a number of statistics are derived and discussed.