The fine structure of equity-index option dynamics (Q2347729): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2015.02.037
+Normal rank
@@ Property / OpenAlex ID @@
+W3022226261
@@ Property / OpenAlex ID: W3022226261 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+Normal rank
@@ Property / cites work @@
+Is Brownian motion necessary to model high-frequency data?
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Limit theorems for moving averages of discretized processes plus noise
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+Small-Time Asymptotics of Option Prices and First Absolute Moments
+Normal rank
@@ Property / cites work @@
+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Power variation from second order differences for pure jump semimartingales
+Normal rank
@@ Property / cites work @@
+Activity signature functions for high-frequency data analysis
+Normal rank
@@ Property / cites work @@
+Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
+Normal rank
@@ Property / cites work @@
+Volatility Jumps
@@ Property / cites work: Volatility Jumps / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2347729