Jumps in equilibrium prices and market microstructure noise (Q527958): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2012.03.001
@@ Property / DOI: 10.1016/j.jeconom.2012.03.001 / rank @@
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@@ Property / author @@
-Per Aslak Mykland
@@ Property / author: Per Aslak Mykland / rank @@
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@@ Property / author @@
+Per Aslak Mykland
@@ Property / author: Per Aslak Mykland / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W3121180878
@@ Property / OpenAlex ID: W3121180878 / rank @@
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@@ Property / cites work @@
+No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
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@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+Normal rank
@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
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@@ Property / cites work @@
+Power Variation and Time Change
@@ Property / cites work: Power Variation and Time Change / rank @@
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+Limit Theorems for the Maximum Term in Stationary Sequences
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+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
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@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
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@@ Property / cites work @@
+Q4272822
@@ Property / cites work: Q4272822 / rank @@
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@@ Property / cites work @@
+Inference for Continuous Semimartingales Observed at High Frequency
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@@ Property / cites work @@
+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2012.03.001
@@ Property / DOI: 10.1016/J.JECONOM.2012.03.001 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:527958