No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications

This research was supported by a grant from the National Science Foundation to the NBER for Andersen and Bollerslev. We would like to thank two anonymous referees, Christian Bontemps, and Nour Meddahi for many helpful suggestions, which greatly improved the papers. We also thank participants at the International Finance Conference at the University of Copenhagen, September 2005, and the Time Series Conference at the University of Montreal, Canada, December 2005, as well as seminar participants at University of Maryland, Robert H. Smith School, University of Wisconsin, Madison; and the University of Chicago. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.