Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
From MaRDI portal
Publication:292014
DOI10.1016/j.jeconom.2005.01.009zbMath1337.62342MaRDI QIDQ292014
Neil Shephard, Ole Eiler Barndorff-Nielsen
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nuff.ox.ac.uk/economics/papers/2003/w12/qml_small.pdf
stochastic volatility; Kalman filter; Lévy process; quasi-likelihood; long-memory; time-change; realised variance
60G51: Processes with independent increments; Lévy processes
62P20: Applications of statistics to economics
62M09: Non-Markovian processes: estimation
91B84: Economic time series analysis
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