Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62P20 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62M09 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G51 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B84 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6591966 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Kalman filter | |||
Property / zbMATH Keywords: Kalman filter / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Lévy process | |||
Property / zbMATH Keywords: Lévy process / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
long-memory | |||
Property / zbMATH Keywords: long-memory / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
quasi-likelihood | |||
Property / zbMATH Keywords: quasi-likelihood / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
realised variance | |||
Property / zbMATH Keywords: realised variance / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
stochastic volatility | |||
Property / zbMATH Keywords: stochastic volatility / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
time-change | |||
Property / zbMATH Keywords: time-change / rank | |||
Normal rank |
Revision as of 21:00, 27 June 2023
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