Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
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Publication:292014
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Cited in
(21)- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Power variation for Gaussian processes with stationary increments
- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- Infinite divisibility for stochastic processes and time change
- Multipower variation for Brownian semistationary processes
- Inference for the jump part of quadratic variation of Itô semimartingales
- Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
- Deep variance gamma processes
- Pricing of the time-change risks
- High resolution simulation of nonstationary Gaussian random fields
- Integer-valued Lévy processes and low latency financial econometrics
- Stochastic volatility and stochastic leverage
- Stochastic volatility with leverage: fast and efficient likelihood inference
- A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
- Volatility estimators for discretely sampled Lévy processes
- Sequential Monte Carlo methods for stochastic volatility models: a review
- Central limit theorems for the non-parametric estimation of time-changed Lévy models
- Econometric analysis of jump-driven stochastic volatility models
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Bipower Variation for Gaussian Processes with Stationary Increments
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