Testing whether jumps have finite or infinite activity (Q638809): Difference between revisions

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+.5219
@@ Property / arXiv ID: 1211.5219 / rank @@
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+Estimating the degree of activity of jumps in high frequency data
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+Testing for jumps in a discretely observed process
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+Testing whether jumps have finite or infinite activity
+Normal rank
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+Spectral estimation of the fractional order of a Lévy process
+Normal rank
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+Hyperbolic distributions in finance
@@ Property / cites work: Hyperbolic distributions in finance / rank @@
+Normal rank
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+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
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+Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach
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+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
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@@ Property / cites work @@
+Activity signature functions for high-frequency data analysis
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+W3102625586
@@ Property / OpenAlex ID: W3102625586 / rank @@
+Normal rank
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+Publication:638809