Pages that link to "Item:Q1002155"
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The following pages link to Testing for jumps in a discretely observed process (Q1002155):
Displaying 50 items.
- Threshold selection in jump-discriminant filter for discretely observed jump processes (Q257568) (← links)
- Risk, jumps, and diversification (Q292155) (← links)
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- The Gumbel test and jumps in the volatility process (Q300783) (← links)
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- Rate-optimal tests for jumps in diffusion processes (Q379937) (← links)
- Consistent estimation for discretely observed Markov jump processes with an absorbing state (Q379949) (← links)
- A specification test of stochastic diffusion models (Q385188) (← links)
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
- Asymptotic lower bounds in estimating jumps (Q395992) (← links)
- Small-time expansions for local jump-diffusion models with infinite jump activity (Q395997) (← links)
- Estimation of the instantaneous volatility (Q411549) (← links)
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503) (← links)
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data (Q434532) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- Nonparametric tests for pathwise properties of semimartingales (Q453304) (← links)
- Testing the local volatility assumption: a statistical approach (Q470421) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions (Q476746) (← links)
- Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
- Martingale optimal transport in the Skorokhod space (Q492958) (← links)
- Testing for non-correlation between price and volatility jumps (Q515135) (← links)
- Testing for jumps in noisy high frequency data (Q527932) (← links)
- Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
- Subsampling high frequency data (Q530605) (← links)
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202) (← links)
- Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
- Power variation of fractional integral processes with jumps (Q552984) (← links)
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
- Is Brownian motion necessary to model high-frequency data? (Q605940) (← links)
- New tests for jumps in semimartingale models (Q625314) (← links)
- Empirical likelihood inference for diffusion processes with jumps (Q625786) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- Testing whether jumps have finite or infinite activity (Q638809) (← links)
- Large deviations of realized volatility (Q665439) (← links)
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process (Q693731) (← links)
- Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- Realized jumps on financial markets and predicting credit spreads (Q737268) (← links)
- Testing and detecting jumps based on a discretely observed process (Q738031) (← links)
- On the jump activity index for semimartingales (Q738115) (← links)
- A splitting strategy for the calibration of jump-diffusion models (Q784736) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Estimating the degree of activity of jumps in high frequency data (Q834337) (← links)
