Activity signature functions for high-frequency data analysis (Q2630154): Difference between revisions

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+https://doi.org/10.1016/j.jeconom.2009.06.009
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+W3123600920
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@@ Property / cites work @@
+Testing for jumps in a discretely observed process
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+Estimating the degree of activity of jumps in high frequency data
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+Testing whether jumps have finite or infinite activity
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+A Lévy process-based framework for the fair valuation of participating life insurance contracts
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+Q5493536
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Limit theorems for multipower variation in the presence of jumps
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+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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+Processes of normal inverse Gaussian type
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+Q3276933
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+Q2734966
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+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
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+Pure jump shock models in reliability
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+On the Pricing of American Options in Exponential Lévy Markets
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+The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
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+Asymptotic properties of realized power variations and related functionals of semimartingales
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+Q4856610
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+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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+La variation d'ordre p des semi-martingales
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+Early exercise boundary and option prices in Lévy driven models
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+The Variance Gamma Process and Option Pricing
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+Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
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+Q4226355
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+Tempering stable processes
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+The normal inverse gaussian lévy process: simulation and approximation
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+Exotic options under Lévy models: an overview
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+A Tale of Two Time Scales
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@@ links / mardi / name / links / mardi / name @@
+Publication:2630154