Pages that link to "Item:Q295396"
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The following pages link to Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396):
Displayed 38 items.
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- Testing for jumps in noisy high frequency data (Q527932) (← links)
- Testing whether jumps have finite or infinite activity (Q638809) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279) (← links)
- Testing and detecting jumps based on a discretely observed process (Q738031) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- The effect of infrequent trading on detecting price jumps (Q1633220) (← links)
- Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
- Cojumps and asset allocation in international equity markets (Q1734591) (← links)
- Testing for the presence of jump components in jump diffusion models (Q2172017) (← links)
- The term structure of equity and variance risk premia (Q2224879) (← links)
- High-frequency jump tests: which test should we use? (Q2224890) (← links)
- Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
- Testing for common arrivals of jumps for discretely observed multidimensional processes (Q2388981) (← links)
- Measuring the relevance of the microstructure noise in financial data (Q2447651) (← links)
- State-domain change point detection for nonlinear time series regression (Q2697972) (← links)
- Estimation of quarticity with high-frequency data (Q2873034) (← links)
- The identification of price jumps (Q2882552) (← links)
- Bayesian Approach to Markov Switching Stochastic Volatility Model with Jumps (Q3102909) (← links)
- Dynamics of Intraday Serial Correlation in China's Stock Market (Q3102911) (← links)
- Identifying Jumps in Asset Prices (Q3112467) (← links)
- Forecasting and trading high frequency volatility on large indices (Q4554453) (← links)
- Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
- EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION (Q4906526) (← links)
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
- A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY (Q4979933) (← links)
- Detection of jumps in financial time series (Q5083982) (← links)
- Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
- Bootstrapping High-Frequency Jump Tests (Q5231507) (← links)
- Jump detection with wavelets for high-frequency financial time series (Q5245902) (← links)
- Volatility measurement with pockets of extreme return persistence (Q6090561) (← links)
- Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
- Persistence of jump-induced tail risk and limits to arbitrage (Q6158431) (← links)