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

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scientific article; zbMATH DE number 51724 (Why is no real title available?)
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ARCH models as diffusion approximations
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On the Decomposition of Continuous Submartingales
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Power Variation and Time Change
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There's more to volatility than volume

Cited in

(45)

Modelling systemic price cojumps with Hawkes factor models
Realized Quantiles^*
The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets
Jumps or Staleness?
Generalized Autoregressive Positive-valued Processes
The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
Cojumps and asset allocation in international equity markets
Testing for jumps based on high-frequency data: a method exploiting microstructure noise
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
Parametric and nonparametric models and methods in financial econometrics
Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
A martingale approach for testing diffusion models based on infinitesimal operator
Testing for mutually exciting jumps and financial flights in high frequency data
Testing for continuous local martingales using the crossing tree
The drift burst hypothesis
Second-order properties of thresholded realized power variations of FJA additive processes
Jumps in equilibrium prices and market microstructure noise
Jump-robust volatility estimation using nearest neighbor truncation
The contribution of intraday jumps to forecasting the density of returns
Collective synchronization and high frequency systemic instabilities in financial markets
High-frequency returns, jumps and the mixture of normals hypothesis
Inference for local distributions at high sampling frequencies: a bootstrap approach
Large deviations of realized volatility
An improved test for continuous local martingales
High-frequency jump tests: which test should we use?
Forecast the realized range-based volatility: the role of investor sentiment and regime switching
A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
Unit root test with high-frequency data
Volatility estimation and jump detection for drift-diffusion processes
Jump tails, extreme dependencies, and the distribution of stock returns
PELVE: probability equivalent level of VaR and ES
Jumps and oil futures volatility forecasting: a new insight
A reexamination of stock return predictability
A nonparametric test of a strong leverage hypothesis
Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps
International market links and volatility transmission
Estimating stochastic volatility models using realized measures
Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
A robust neighborhood truncation approach to estimation of integrated quarticity
Optimally thresholded realized power variations for Lévy jump diffusion models
Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
Threshold bipower variation and the impact of jumps on volatility forecasting
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
Forecasting and trading high frequency volatility on large indices
The effect of intraday periodicity on realized volatility measures

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