Pages that link to "Item:Q277161"
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The following pages link to 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 (Q277161):
Displaying 39 items.
- Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
- Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
- International market links and volatility transmission (Q528027) (← links)
- Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
- Large deviations of realized volatility (Q665439) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
- A martingale approach for testing diffusion models based on infinitesimal operator (Q737898) (← links)
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies (Q744376) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach (Q1659128) (← links)
- Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
- Cojumps and asset allocation in international equity markets (Q1734591) (← links)
- Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps (Q2097471) (← links)
- The drift burst hypothesis (Q2116347) (← links)
- Forecast the realized range-based volatility: the role of investor sentiment and regime switching (Q2161799) (← links)
- The contribution of intraday jumps to forecasting the density of returns (Q2181523) (← links)
- Volatility estimation and jump detection for drift-diffusion processes (Q2190225) (← links)
- High-frequency jump tests: which test should we use? (Q2224890) (← links)
- Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
- Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
- Optimally thresholded realized power variations for Lévy jump diffusion models (Q2447648) (← links)
- Estimating stochastic volatility models using realized measures (Q2691659) (← links)
- The effect of intraday periodicity on realized volatility measures (Q2696331) (← links)
- PELVE: probability equivalent level of VaR and ES (Q2697992) (← links)
- An Improved Test for Continuous Local Martingales (Q2792264) (← links)
- TESTING FOR CONTINUOUS LOCAL MARTINGALES USING THE CROSSING TREE (Q2802751) (← links)
- Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
- Forecasting and trading high frequency volatility on large indices (Q4554453) (← links)
- Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
- A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY (Q4979933) (← links)
- Jumps and oil futures volatility forecasting: a new insight (Q5014220) (← links)
- UNIT ROOT TEST WITH HIGH-FREQUENCY DATA (Q5065460) (← links)
- Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data (Q5120733) (← links)
- A reexamination of stock return predictability (Q5964757) (← links)
- The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets (Q6148782) (← links)
