Estimation of jump tails

DOI10.3982/ECTA9240MaRDI QIDQ2892447zbMATH OpenFDO

Authors Tim Bollerslev, Viktor Todorov

Publication date 18 June 2012

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ECTA9240

zbMATH Keywords

extreme eventshigh-frequency datajump tailsjumpsnonparametric estimationstochastic volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cited in

(28)

• Long memory behavior of returns after intraday financial jumps
• Testing for self-excitation in jumps
• Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
• Efficient estimation and filtering for multivariate jump-diffusions
• Volatility coupling
• High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process
• Variation and efficiency of high-frequency betas
• Nonparametric jump variation measures from options
• Bias free threshold estimation for jump intensity function
• Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
• Estimating the volatility occupation time via regularized Laplace inversion
• Nonparametric inference on Lévy measures and copulas
• Time-varying jump tails
• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
• Efficient estimation of integrated volatility functionals under general volatility dynamics
• Estimation of volatility functions in jump diffusions using truncated bipower increments
• Time-varying periodicity in intraday volatility
• Jump tails, extreme dependencies, and the distribution of stock returns
• Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale
• Permutation‐based tests for discontinuities in event studies
• Intraday cross-sectional distributions of systematic risk
• The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets
• Persistence of jump-induced tail risk and limits to arbitrage
• Anticipating extreme losses using score-driven shape filters
• Measuring tail risk
• Risk Analysis via Generalized Pareto Distributions
• Multiplicative factor model for volatility
• Realized Laplace transforms for estimation of jump diffusive volatility models

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