Inference in Lévy-type stochastic volatility models
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Cites work
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
- Estimation of integrated volatility in stochastic volatility models
- scientific article; zbMATH DE number 2127973 (Why is no real title available?)
- scientific article; zbMATH DE number 1466110 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3090543 (Why is no real title available?)
- La variation d'ordre p des semi-martingales
- Limit theorems for multipower variation in the presence of jumps
- Long memory in continuous-time stochastic volatility models
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On the pricing and hedging of volatility derivatives
- Power and multipower variation: inference for high frequency data
- Power Variation and Time Change
- Power variation of some integral fractional processes
- Realized power variation and stochastic volatility models
- Sign-Invariant Random Variables and Stochastic Processes with Sign-invariant Increments
- Stochastic Volatility for Lévy Processes
- Time changes for Lévy processes
- Variation, jumps and high-frequency data in financial econometrics
- Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
- Variational Sums for Additive Processes
- Volatility estimators for discretely sampled Lévy processes
Cited in
(25)- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Dynamic tail inference with log-Laplace volatility
- Inference for random coefficient volatility models
- Calculating the index of volatility in inhomogeneous Levy models
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
- Power variation from second order differences for pure jump semimartingales
- Asymptotically optimal discretization of hedging strategies with jumps
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
- Central limit theorems for the non-parametric estimation of time-changed Lévy models
- Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
- Power and multipower variation: inference for high frequency data
- Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- Bipower Variation for Gaussian Processes with Stationary Increments
- Statistical estimation of Lévy-type stochastic volatility models
- Stochastic Volatility for Lévy Processes
- Inference for option panels in pure-jump settings
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- Estimating Jump Activity Using Multipower Variation
- Drift Bursts in Pure Jumps: Detection and Application to Bitcoin
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
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