Volatility jumps
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Publication:3089154
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- Realized Laplace transforms for pure-jump semimartingales
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
- 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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- COMFORT: a common market factor non-Gaussian returns model
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- Testing for simultaneous jumps in case of asynchronous observations
- Option pricing in some non-Lévy jump models
- Macroeconomic fundamentals, jump dynamics and expected volatility
- Causality effects in return volatility measures with random times
- Spiking the Volatility Punch
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
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- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
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- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
- Change-point inference on volatility in noisy Itô semimartingales
- The relationship between the volatility of returns and the number of jumps in financial markets
- A regime-switching Heston model for VIX and S&P 500 implied volatilities
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- Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
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- Pure jump models for pricing and hedging VIX derivatives
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- The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models
- Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
- Shifts in volatility driven by large stock market shocks
- Parametric inference for discretely observed subordinate diffusions
- A tale of two volatilities
- The rough Hawkes Heston stochastic volatility model
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Mixed-scale jump regressions with bootstrap inference
- A hidden Markov model with dependence jumps for predictive modeling of multidimensional time-series
- Testing for jump spillovers without testing for jumps
- Stochastic volatility model with correlated jump sizes and independent arrivals
- A tale of two option markets: pricing kernels and volatility risk
- Double-jump diffusion model for VIX: evidence from VVIX
- Inference for option panels in pure-jump settings
- An empirical examination of jump risk in U.S. equity and bond markets
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- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
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- Inference for local distributions at high sampling frequencies: a bootstrap approach
- The fine structure of equity-index option dynamics
- Volatility in equilibrium: asymmetries and dynamic dependencies
- Dark Matter in (Volatility and) Equity Option Risk Premiums
- Estimation of the instantaneous volatility
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
- Smiles \& smirks: volatility and leverage by jumps
- Chasing volatility. A persistent multiplicative error model with jumps
- Pricing variance swaps for stochastic volatilities with delay and jumps
- Set-valued stochastic integrals for convoluted Lévy processes
- Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
- Resolution of policy uncertainty and sudden declines in volatility
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- Co-jumps and recursive preferences in portfolio choices
- Econometric analysis of jump-driven stochastic volatility models
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
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