Pages that link to "Item:Q2388981"
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The following pages link to Testing for common arrivals of jumps for discretely observed multidimensional processes (Q2388981):
Displaying 39 items.
- Risk, jumps, and diversification (Q292155) (← links)
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Time-varying leverage effects (Q527980) (← links)
- Bootstrapping realized multivariate volatility measures (Q528117) (← links)
- Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202) (← links)
- Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
- Testing and detecting jumps based on a discretely observed process (Q738031) (← links)
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- Do price and volatility jump together? (Q990387) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
- Testing for self-excitation in jumps (Q1706487) (← links)
- Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
- Cojumps and asset allocation in international equity markets (Q1734591) (← links)
- Testing for simultaneous jumps in case of asynchronous observations (Q1750093) (← links)
- Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084) (← links)
- Laws of large numbers for Hayashi-Yoshida-type functionals (Q1999591) (← links)
- Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps (Q2097471) (← links)
- On the nonparametric inference of coefficients of self-exciting jump-diffusion (Q2154949) (← links)
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests (Q2182138) (← links)
- Spot volatility estimation using delta sequences (Q2339119) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES (Q3557544) (← links)
- Bipower Variation for Gaussian Processes with Stationary Increments (Q3621152) (← links)
- Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
- Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952) (← links)
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas (Q6090585) (← links)
- Bayesian prediction of jumps in large panels of time series data (Q6202925) (← links)
- Detection of jumps in financial market (Q6544944) (← links)
- Benefit volatility-targeting strategies in lifetime pension pools (Q6607485) (← links)
- Systematic jump risk (Q6620071) (← links)
- Tests for Jumps in Yield Spreads (Q6626261) (← links)
