Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014): Difference between revisions
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Revision as of 02:39, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes |
scientific article |
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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (English)
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10 June 2016
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Kalman filter
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Lévy process
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long-memory
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quasi-likelihood
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realised variance
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stochastic volatility
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time-change
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