Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
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- scientific article; zbMATH DE number 3159046 (Why is no real title available?)
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
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Cited in
(60)- Parametric estimation for discretely observed stochastic processes with jumps
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- Parameter estimation in optional semimartingale regression models
- Dependence estimation for high-frequency sampled multivariate CARMA models
- Factorization and discrete-time representation of multi-variate CARMA processes
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Spectral GMM estimation of continuous-time processes
- Inference for the jump part of quadratic variation of Itô semimartingales
- Volatility analysis with realized GARCH-Itô models
- Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
- Computation of volatility in stochastic volatility models with high frequency data
- Inference theory for volatility functional dependencies
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
- Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach
- Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
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- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data
- Estimation of stochastic volatility models by nonparametric filtering
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- Multivariate stochastic delay differential equations and CAR representations of CARMA processes
- On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method
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- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
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- Parameter estimation of stochastic volatility model with jump
- Realized Laplace transforms for estimation of jump diffusive volatility models
- Econometric analysis of jump-driven stochastic volatility models
- Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
- Estimation of volatility functions in jump diffusions using truncated bipower increments
- Asymptotic inference for jump diffusions with state-dependent intensity
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
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