Functional relationships between price and volatility jumps and their consequences for discretely observed data (Q4903032)
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scientific article; zbMATH DE number 6127034
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| English | Functional relationships between price and volatility jumps and their consequences for discretely observed data |
scientific article; zbMATH DE number 6127034 |
Statements
Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (English)
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19 January 2013
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Barndorff-Nielsen Shephard model
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CARMA
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continuous-time GARCH
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COGARCH
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common jumps
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high-frequency data
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Itô semimartingale
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Lévy process
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Ornstein-Uhlenbeck process
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stochastic volatility
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0.8140559792518616
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0.8109028339385986
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0.803693413734436
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0.7948014736175537
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0.7667284607887268
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