Volatility activity: specification and estimation
From MaRDI portal
Publication:2512607
DOI10.1016/j.jeconom.2013.08.015zbMath1293.91200MaRDI QIDQ2512607
George Tauchen, Viktor Todorov, Iaryna Grynkiv
Publication date: 7 August 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.015
Laplace transform; stochastic volatility; high-frequency data; specification testing; volatility jumps; asymmetric volatility activity; signed power variation
62G10: Nonparametric hypothesis testing
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B70: Stochastic models in economics
Related Items
Bootstrapping High-Frequency Jump Tests, The effects of asymmetric volatility and jumps on the pricing of VIX derivatives, Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment, Nonparametric estimation of jump diffusion models, The drift burst hypothesis, A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation, Inference for local distributions at high sampling frequencies: a bootstrap approach, The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing, Adaptive estimation of continuous-time regression models using high-frequency data
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On simulation of tempered stable random variates
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Distributions of subadditive functionals of sample paths of infinitely divisible processes
- Realized Laplace transforms for estimation of jump diffusive volatility models
- Estimating the degree of activity of jumps in high frequency data
- Tempered stable Lévy motion and transient super-diffusion
- Tempering stable processes
- Alternative models for stock price dynamics.
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Activity signature functions for high-frequency data analysis
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- The Realized Laplace Transform of Volatility
- Volatility Jumps
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Financial Modelling with Jump Processes
- An Exponential Continuous-Time GARCH Process
