Pages that link to "Item:Q2630154"
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The following pages link to Activity signature functions for high-frequency data analysis (Q2630154):
Displaying 34 items.
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data (Q434532) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- Nonparametric tests for pathwise properties of semimartingales (Q453304) (← links)
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202) (← links)
- Is Brownian motion necessary to model high-frequency data? (Q605940) (← links)
- Testing whether jumps have finite or infinite activity (Q638809) (← links)
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process (Q693731) (← links)
- Lévy copulae for financial returns (Q727660) (← links)
- Realized Laplace transforms for estimation of jump diffusive volatility models (Q738034) (← links)
- On the jump activity index for semimartingales (Q738115) (← links)
- Trading-flow assisted estimation of the jump activity index (Q829093) (← links)
- Limit theorems for moving averages of discretized processes plus noise (Q973875) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
- Testing for self-excitation in jumps (Q1706487) (← links)
- Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
- Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution (Q2193302) (← links)
- Convergence of extreme values of Poisson point processes at small times (Q2231310) (← links)
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
- Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
- Testing for pure-jump processes for high-frequency data (Q2343966) (← links)
- The fine structure of equity-index option dynamics (Q2347729) (← links)
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719) (← links)
- Parametric inference for discretely observed subordinate diffusions (Q2417988) (← links)
- Volatility activity: specification and estimation (Q2512607) (← links)
- A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type (Q2661851) (← links)
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
- MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (Q3008483) (← links)
- Instantaneous portfolio theory (Q4554500) (← links)
- Characterizing financial crises using high-frequency data (Q5079366) (← links)
- Near-optimal estimation of jump activity in semimartingales (Q5963516) (← links)