Large deviations of realized volatility (Q665439): Difference between revisions

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-.1016/j.spa.2011.09.002
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+Testing for jumps in a discretely observed process
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+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
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+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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+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
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+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Q5493536
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+LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
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+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Limit theorems for multipower variation in the presence of jumps
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+Large deviations for quadratic forms of stationary Gaussian processes
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+Q5560061
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+Normal rank
@@ Property / cites work @@
+Large deviations for quadratic functionals of Gaussian processes
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+Generalizations of Hölder's inequality
@@ Property / cites work: Generalizations of Hölder's inequality / rank @@
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+Realised quantile-based estimation of the integrated variance
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+Long memory continuous time models
@@ Property / cites work: Long memory continuous time models / rank @@
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+Q4391441
@@ Property / cites work: Q4391441 / rank @@
+Normal rank
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+Large deviations for a general class of random vectors
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+Q3149666
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+Normal rank
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+Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
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+A generalization of Hölder's inequality and some probability inequalities
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@@ Property / cites work @@
+On Large Deviations from the Invariant Measure
@@ Property / cites work: On Large Deviations from the Invariant Measure / rank @@
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+Bootstrapping Realized Volatility
@@ Property / cites work: Bootstrapping Realized Volatility / rank @@
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+On moderate deviations for martingales
@@ Property / cites work: On moderate deviations for martingales / rank @@
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+Large deviations for martingales via Cramér's method
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q4002114
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+Large deviations for martingales.
@@ Property / cites work: Large deviations for martingales. / rank @@
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+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
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+Q4226355
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+Contingent Claims and Market Completeness in a Stochastic Volatility Model
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+Stochastic Volatility: Origins and Overview
@@ Property / cites work: Stochastic Volatility: Origins and Overview / rank @@
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+Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
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+Econometric analysis of jump-driven stochastic volatility models
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+A Tale of Two Time Scales
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+Edgeworth expansions for realized volatility and related estimators
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@@ Property / DOI @@
+.1016/J.SPA.2011.09.002
@@ Property / DOI: 10.1016/J.SPA.2011.09.002 / rank @@
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