Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
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Publication:301970
DOI10.1016/J.JECONOM.2008.10.005zbMATH Open1429.62480OpenAlexW1977038444MaRDI QIDQ301970FDOQ301970
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.10.005
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Cited In (43)
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Computation of volatility in stochastic volatility models with high frequency data
- Intraday Periodic Volatility Curves
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- Stochastic volatility and stochastic leverage
- Long-term time-dependent stochastic modelling of extreme waves
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- Evolution of high-frequency systematic trading: a performance-driven gradient boosting model
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- Asymptotic inference about predictive accuracy using high frequency data
- A GMM approach to estimate the roughness of stochastic volatility
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- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
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- On non-negative modeling with CARMA processes
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- A Mathematical Theory of Financial Bubbles
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