Volatility jumps
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Publication:3089154
DOI10.1198/JBES.2010.08342zbMATH Open1219.91156OpenAlexW4241515853MaRDI QIDQ3089154FDOQ3089154
Authors: Viktor Todorov, George Tauchen 
Publication date: 24 August 2011
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2010.08342
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Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Statistical methods; risk measures (91G70)
Cited In (84)
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- HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
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- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
- The relationship between the volatility of returns and the number of jumps in financial markets
- Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
- Disentangling Sources of High Frequency Market Microstructure Noise
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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
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- Double-jump diffusion model for VIX: evidence from VVIX
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Dark Matter in (Volatility and) Equity Option Risk Premiums
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- Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
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- Volatility in discrete and continuous-time models: a survey with new evidence on large and small jumps
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
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- Volatility activity: specification and estimation
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- Pure jump models for pricing and hedging VIX derivatives
- Bayesian estimation of dynamic asset pricing models with informative observations
- Realized Laplace transforms for estimation of jump diffusive volatility models
- Common price and volatility jumps in noisy high-frequency data
- Do price and volatility jump together?
- Shifts in volatility driven by large stock market shocks
- Parametric inference for discretely observed subordinate diffusions
- A tale of two volatilities
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Mixed-scale jump regressions with bootstrap inference
- Stochastic volatility model with correlated jump sizes and independent arrivals
- A hidden Markov model with dependence jumps for predictive modeling of multidimensional time-series
- Inference for option panels in pure-jump settings
- An empirical examination of jump risk in U.S. equity and bond markets
- A tale of two option markets: pricing kernels and volatility risk
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
- Learning, confidence, and option prices
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
- Fixed-\(k\) inference for volatility
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Volatility in equilibrium: asymmetries and dynamic dependencies
- The fine structure of equity-index option dynamics
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
- Estimation of the instantaneous volatility
- 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
- Jump and volatility dynamics for the S\&P 500: evidence for infinite-activity jumps with non-affine volatility dynamics from stock and option markets
- Resolution of policy uncertainty and sudden declines in volatility
- 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
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
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