Pages that link to "Item:Q990387"

The following pages link to Do price and volatility jump together? (Q990387):

Displaying 36 items.

• The Gumbel test and jumps in the volatility process (Q300783) (← 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)
• Variance swap with mean reversion, multifactor stochastic volatility and jumps (Q319633) (← links)
• Asymptotic lower bounds in estimating jumps (Q395992) (← links)
• Testing for non-correlation between price and volatility jumps (Q515135) (← links)
• Multivariate supOU processes (Q627238) (← links)
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
• Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
• Mixed-scale jump regressions with bootstrap inference (Q1676389) (← 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)
• Bayesian estimation of dynamic asset pricing models with informative observations (Q1740278) (← links)
• Testing for simultaneous jumps in case of asynchronous observations (Q1750093) (← links)
• A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
• The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
• Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
• Pricing of variance swap rates and investment decisions of variance swaps: evidence from a three-factor model (Q2158056) (← links)
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests (Q2182138) (← links)
• Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
• Superposition of COGARCH processes (Q2258831) (← links)
• Change-point inference on volatility in noisy Itô semimartingales (Q2280017) (← links)
• Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
• Nonparametric spot volatility from options (Q2299587) (← links)
• Spot volatility estimation using delta sequences (Q2339119) (← links)
• High-frequency sampling of a continuous-time ARMA process (Q2930909) (← links)
• An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations (Q3106437) (← links)
• Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (Q4903032) (← links)
• A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (Q4917298) (← links)
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
• Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
• On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
• IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (Q5880804) (← links)
• Testing the volatility jumps based on the high frequency data (Q6134625) (← links)
• HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? (Q6170144) (← links)