Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014)
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scientific article; zbMATH DE number 6591966
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| English | Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes |
scientific article; zbMATH DE number 6591966 |
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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (English)
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10 June 2016
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Kalman filter
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Lévy process
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long-memory
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quasi-likelihood
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realised variance
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stochastic volatility
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time-change
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