Estimation of the instantaneous volatility (Q411549): Difference between revisions

@@ Property / arXiv ID @@
+.3538
@@ Property / arXiv ID: 0812.3538 / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility estimators for discretely sampled Lévy processes
+Normal rank
@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Q5493536
@@ Property / cites work: Q5493536 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale convergence to mixtures of infinitely divisible laws
+Normal rank
@@ Property / cites work @@
+A volatility-varying and jump-diffusion Merton type model of interest rate risk
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
+Normal rank
@@ Property / cites work @@
+Limit theorems for moving averages of discretized processes plus noise
+Normal rank
@@ Property / cites work @@
+La variation d'ordre p des semi-martingales
@@ Property / cites work: La variation d'ordre p des semi-martingales / rank @@
+Normal rank
@@ Property / cites work @@
+VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
+Normal rank
@@ Property / cites work @@
+Volatility Jumps
@@ Property / cites work: Volatility Jumps / rank @@
+Normal rank
@@ Property / cites work @@
+INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
+Normal rank
@@ Property / cites work @@
+Estimation of integrated volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q3511651
@@ Property / cites work: Q3511651 / rank @@
+Normal rank