INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS (Q5243484): Difference between revisions

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+MaRDI publication profile
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+Estimating the degree of activity of jumps in high frequency data
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+Parametric Inference and Dynamic State Recovery From Option Panels
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+Unified inference for nonlinear factor models from panels with fixed and large time span
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Near-optimal estimation of jump activity in semimartingales
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+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
+Normal rank
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+Optimal positioning in derivative securities
@@ Property / cites work: Optimal positioning in derivative securities / rank @@
+Normal rank
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+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+A general characterization of one factor affine term structure models
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+A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
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+Discretization of processes.
@@ Property / cites work: Discretization of processes. / rank @@
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+Q4778955
@@ Property / cites work: Q4778955 / rank @@
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+Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
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+Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
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+Modeling high-frequency financial data by pure jump processes
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+On the jump activity index for semimartingales
@@ Property / cites work: On the jump activity index for semimartingales / rank @@
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+Testing for pure-jump processes for high-frequency data
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+Stable Paretian Random Functions and the Multiplicative Variation of Income
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@@ Property / cites work @@
+Tempering stable processes
@@ Property / cites work: Tempering stable processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Inference in Linear Time Series Models with some Unit Roots
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@@ Property / cites work @@
+Jump activity estimation for pure-jump semimartingales via self-normalized statistics
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@@ Property / cites work @@
+Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
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+Volatility Jumps
@@ Property / cites work: Volatility Jumps / rank @@
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+Realized Laplace transforms for pure-jump semimartingales
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@@ Property / cites work @@
+Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
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+Inference in Lévy-type stochastic volatility models
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+https://doi.org/10.1017/s0266466618000373
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+W2896975181
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+Publication:5243484