Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
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Publication:292014
DOI10.1016/J.JECONOM.2005.01.009zbMATH Open1337.62342OpenAlexW2117306570MaRDI QIDQ292014FDOQ292014
Ole E. Barndorff-Nielsen, Neil Shephard
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
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Kalman filterquasi-likelihoodlong-memorystochastic volatilitytime-changerealised varianceLévy process
Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)
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Cited In (21)
- Multipower variation for Brownian semistationary processes
- Stochastic volatility and stochastic leverage
- Pricing of the time-change risks
- Integer-valued Lévy processes and low latency financial econometrics
- High resolution simulation of nonstationary Gaussian random fields
- Power variation for Gaussian processes with stationary increments
- Central limit theorems for the non-parametric estimation of time-changed Lévy models
- Infinite divisibility for stochastic processes and time change
- Sequential Monte Carlo methods for stochastic volatility models: a review
- Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures
- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- Bipower Variation for Gaussian Processes with Stationary Increments
- A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
- Stochastic volatility with leverage: fast and efficient likelihood inference
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Deep variance gamma processes
- Econometric analysis of jump-driven stochastic volatility models
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Volatility estimators for discretely sampled Lévy processes
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