Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q627237 |
Changed an Item |
||
| Property / author | |||
| Property / author: Ole Eiler Barndorff-Nielsen / rank | |||
Normal rank | |||
Revision as of 02:38, 20 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes |
scientific article |
Statements
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (English)
0 references
10 June 2016
0 references
Kalman filter
0 references
Lévy process
0 references
long-memory
0 references
quasi-likelihood
0 references
realised variance
0 references
stochastic volatility
0 references
time-change
0 references
