The following pages link to Power Variation and Time Change (Q5472356):
Displayed 50 items.
- 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) (← links)
- Realized range-based estimation of integrated variance (Q289157) (← links)
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan (Q289216) (← links)
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254) (← links)
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
- Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data (Q434532) (← links)
- Local \(M\)-estimation for jump-diffusion processes (Q449381) (← links)
- Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility (Q484871) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Testing for non-correlation between price and volatility jumps (Q515135) (← links)
- Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
- Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
- Time-varying leverage effects (Q527980) (← links)
- Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
- Data-based ranking of realised volatility estimators (Q530606) (← links)
- Power variation of fractional integral processes with jumps (Q552984) (← links)
- On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- Econometric analysis of jump-driven stochastic volatility models (Q737254) (← links)
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258) (← links)
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (Q737260) (← links)
- Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263) (← links)
- Threshold estimation of Markov models with jumps and interest rate modeling (Q737264) (← links)
- Forecasting multivariate realized stock market volatility (Q737267) (← links)
- High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
- Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- A martingale approach for testing diffusion models based on infinitesimal operator (Q737898) (← links)
- Testing and detecting jumps based on a discretely observed process (Q738031) (← links)
- On the jump activity index for semimartingales (Q738115) (← links)
- Testing for jumps in the EGARCH process (Q834296) (← links)
- Infinite divisibility for stochastic processes and time change (Q867076) (← links)
- Realized volatility with stochastic sampling (Q981001) (← links)
- Functional estimation for Lévy measures of semimartingales with Poissonian jumps (Q1012526) (← links)
- Testing for jumps in the stochastic volatility models (Q1025341) (← links)
- Intra-daily information of range-based volatility for MEM-GARCH (Q1025346) (← links)
- Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
- Irregular sampling and central limit theorems for power variations: the continuous case (Q1944677) (← links)
- Smile from the past: a general option pricing framework with multiple volatility and leverage components (Q2347728) (← links)
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors (Q2442401) (← links)
- Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight (Q2515853) (← links)
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES (Q2986526) (← links)
- Sequential Monte Carlo methods for stochastic volatility models: a review (Q3008580) (← links)