Functional relationships between price and volatility jumps and their consequences for discretely observed data

DOI10.1239/JAP/1354716647MaRDI QIDQ4903032zbMATH OpenOpenAlexFDO

Authors Jean Jacod, Claudia Klüppelberg, Gernot Müller

Publication date 19 January 2013

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1354716647

zbMATH Keywords

Ornstein-Uhlenbeck processstochastic volatilityhigh-frequency dataCOGARCHCARMAcommon jumpsLévy processItô semimartingaleBarndorff-Nielsen Shephard modelcontinuous-time GARCH

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Markov processes: hypothesis testing (62M02) Statistical methods; risk measures (91G70) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 5066273 (Why is no real title available?)
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• An Exponential Continuous-Time GARCH Process
• Continuous Time Approximations to GARCH and Stochastic Volatility Models
• Continuous-time GARCH processes
• Discretization of processes.
• Do price and volatility jump together?
• Extremal behavior of stochastic volatility models
• Functional relationships between price and volatility jumps and their consequences for discretely observed data
• Hyperbolic distributions in finance
• Lévy-driven CARMA processes
• Method of moment estimation in the COGARCH(1,1) model
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Option pricing when underlying stock returns are discontinuous
• Testing for jumps in a discretely observed process
• The COGARCH: a review, with news on option pricing and statistical inference
• Volatility estimators for discretely sampled Lévy processes

Cited in

(5)

• Integrability conditions for space-time stochastic integrals: theory and applications
• Functional relationships between price and volatility jumps and their consequences for discretely observed data
• Parameter estimation for a discretely observed stochastic volatility model with jumps in the volatility
• Superposition of COGARCH processes
• Chasing volatility. A persistent multiplicative error model with jumps

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