Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (Q4903032): Difference between revisions
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Revision as of 19:50, 19 March 2024
scientific article; zbMATH DE number 6127034
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data |
scientific article; zbMATH DE number 6127034 |
Statements
Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (English)
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19 January 2013
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Barndorff-Nielsen Shephard model
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CARMA
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continuous-time GARCH
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COGARCH
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common jumps
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high-frequency data
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Itô semimartingale
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Lévy process
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Ornstein-Uhlenbeck process
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stochastic volatility
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