Power Variation and Time Change
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Cited in
(69)- Functional estimation for Lévy measures of semimartingales with Poissonian jumps
- Testing for jumps in the stochastic volatility models
- Intra-daily information of range-based volatility for MEM-GARCH
- Realized power variation and stochastic volatility models
- Resolution of policy uncertainty and sudden declines in volatility
- Irregular sampling and central limit theorems for power variations: the continuous case
- Smile from the past: a general option pricing framework with multiple volatility and leverage components
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
- Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Realized range-based estimation of integrated variance
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Efficient estimation of integrated volatility and related processes
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Sequential Monte Carlo methods for stochastic volatility models: a review
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Predictive density estimators for daily volatility based on the use of realized measures
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- Estimation of correlation for continuous semimartingales
- A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
- Time Change, Volatility, and Turbulence
- Realized Volatility: A Review
- Inference in Lévy-type stochastic volatility models
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data
- Local M-estimation for jump-diffusion processes
- Power variation and stochastic volatility: a review and some new results
- Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility
- Inference from high-frequency data: a subsampling approach
- Testing for non-correlation between price and volatility jumps
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Jumps in equilibrium prices and market microstructure noise
- Jump-robust volatility estimation using nearest neighbor truncation
- Time-varying leverage effects
- Probabilistic forecasts of volatility and its risk premia
- Data-based ranking of realised volatility estimators
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Power variation of fractional integral processes with jumps
- Strong consistency of the kernel estimator of spot volatility for diffusion process
- Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data
- Power variation for Itô integrals with respect to -stable processes
- Asymptotic normality of kernel density estimation for mixing high-frequency data
- Ole Eiler Barndorff-Nielsen and financial econometrics
- A note on the limit theorems for hitting times of path-dependent functionals of Itô semimartingales
- When Frictions Are Fractional: Rough Noise in High-Frequency Data
- Asymptotic properties of recursive kernel density estimation for long-span high-frequency data
- Rate-optimal estimation of mixed semimartingales
- On the use of high frequency measures of volatility in MIDAS regressions
- Joint empirical likelihood confidence regions for a finite number of quantiles under strong mixing high-frequency data
- Realised quantile-based estimation of the integrated variance
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Econometric analysis of jump-driven stochastic volatility models
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- Do high-frequency measures of volatility improve forecasts of return distributions?
- Threshold estimation of Markov models with jumps and interest rate modeling
- Forecasting multivariate realized stock market volatility
- High-frequency returns, jumps and the mixture of normals hypothesis
- Variance dynamics: joint evidence from options and high-frequency returns
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- A martingale approach for testing diffusion models based on infinitesimal operator
- Testing and detecting jumps based on a discretely observed process
- On the jump activity index for semimartingales
- Testing for jumps in the EGARCH process
- Infinite divisibility for stochastic processes and time change
- Realized volatility with stochastic sampling
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