Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014): Difference between revisions

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Latest revision as of 04:07, 12 July 2024

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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
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    Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (English)
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    10 June 2016
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    Kalman filter
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    Lévy process
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    long-memory
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    quasi-likelihood
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    realised variance
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    stochastic volatility
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    time-change
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