Time-varying leverage effects (Q527980): Difference between revisions

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+On the functional estimation of jump-diffusion models.
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+Fully Nonparametric Estimation of Scalar Diffusion Models
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+LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
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+Power Variation and Time Change
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+Threshold bipower variation and the impact of jumps on volatility forecasting
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Q4856610
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+Testing for common arrivals of jumps for discretely observed multidimensional processes
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+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
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+IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
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+Inference for Continuous Semimartingales Observed at High Frequency
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+A multivariate central limit theorem for continuous local martingales
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+On leverage in a stochastic volatility model
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