Econometric analysis of jump-driven stochastic volatility models
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Cites work
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- Affine processes and applications in finance
- An MCMC approach to classical estimation.
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Continuous-time GARCH processes
- Diagnostic testing and evaluation of maximum likelihood models
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Lévy-driven CARMA processes
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Power Variation and Time Change
- Stochastic Volatility for Lévy Processes
- Tempering stable processes
- The Distribution of Realized Exchange Rate Volatility
Cited in
(29)- Volatility analysis with realized GARCH-Itô models
- Option pricing for stochastic volatility model with infinite activity Lévy jumps
- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns
- Abelian theorems for stochastic volatility models with application to the estimation of jump activity
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
- The microstructure of stochastic volatility models with self-exciting jump dynamics
- Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
- Chasing volatility. A persistent multiplicative error model with jumps
- Option pricing and hedging for optimized Lévy driven stochastic volatility models
- Power variation from second order differences for pure jump semimartingales
- Structural estimation of jump-diffusion processes in macroeconomics
- Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
- Specification analysis in regime-switching continuous-time diffusion models for market volatility
- Integration of CARMA processes and spot volatility modelling
- Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Stochastic jump intensity models
- Inhomogeneous Jump-GARCH Models with Applications in Financial Time Series Analysis
- Stochastic volatility and stochastic leverage
- Stochastic volatility model with correlated jump sizes and independent arrivals
- Model verification for Lévy-driven CARMA(2,1) processes
- Jump factor models in large cross‐sections
- Convergence rates of sums of -mixing triangular arrays: with an application to nonparametric drift function estimation of continuous-time processes
- Testing for Threshold Diffusion
- Large deviations of realized volatility
- Realized Laplace transforms for estimation of jump diffusive volatility models
- Implementation of Lévy CARMA model in \texttt{yuima} package
- Stochastic volatility and DSGE models
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