Large deviations of realized volatility (Q665439)

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Language	Label	Description	Also known as
English	Large deviations of realized volatility	scientific article

Statements

scholarly article

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Large deviations of realized volatility (English)

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Stochastic Processes and their Applications

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publication date

5 March 2012

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zbMATH Keywords

realized volatility

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large deviation

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moderate deviation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.spa.2011.09.002

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Testing for jumps in a discretely observed process

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Modeling and Forecasting Realized Volatility

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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications

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Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

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Microstructure Noise, Realized Variance, and Optimal Sampling

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LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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Limit theorems for multipower variation in the presence of jumps

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Large deviations for quadratic forms of stationary Gaussian processes

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Large deviations for quadratic functionals of Gaussian processes

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Generalizations of Hölder's inequality

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Realised quantile-based estimation of the integrated variance

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Long memory continuous time models

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Large deviations for a general class of random vectors

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Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model

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A generalization of Hölder's inequality and some probability inequalities

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On Large Deviations from the Invariant Measure

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Bootstrapping Realized Volatility

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On moderate deviations for martingales

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Large deviations for martingales via Cramér's method

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Large deviations for martingales.

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ARCH models as diffusion approximations

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Contingent Claims and Market Completeness in a Stochastic Volatility Model

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Stochastic Volatility: Origins and Overview

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Limit theorems for power variations of pure-jump processes with application to activity estima\-tion

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Econometric analysis of jump-driven stochastic volatility models

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A Tale of Two Time Scales

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Edgeworth expansions for realized volatility and related estimators

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.SPA.2011.09.002

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Sitelinks

Mathematics(1 entry)

mardi Publication:665439

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