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

@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M09
@@ Property / Mathematics Subject Classification ID: 62M09 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
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@@ Property / Mathematics Subject Classification ID: 91B84 / rank @@
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@@ Property / zbMATH DE Number: 6591966 / rank @@
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@@ Property / zbMATH Keywords @@
+Kalman filter
@@ Property / zbMATH Keywords: Kalman filter / rank @@
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@@ Property / zbMATH Keywords @@
+Lévy process
@@ Property / zbMATH Keywords: Lévy process / rank @@
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@@ Property / zbMATH Keywords @@
+long-memory
@@ Property / zbMATH Keywords: long-memory / rank @@
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@@ Property / zbMATH Keywords @@
+quasi-likelihood
@@ Property / zbMATH Keywords: quasi-likelihood / rank @@
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@@ Property / zbMATH Keywords @@
+realised variance
@@ Property / zbMATH Keywords: realised variance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
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@@ Property / zbMATH Keywords @@
+time-change
@@ Property / zbMATH Keywords: time-change / rank @@
+Normal rank

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

Revision as of 21:00, 27 June 2023

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