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

DOI10.1239/JAP/1354716647zbMATH Open1263.60038OpenAlexW2080354725MaRDI QIDQ4903032FDOQ4903032

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

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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)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
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• Volatility estimators for discretely sampled Lévy processes
• Hyperbolic distributions in finance
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Testing for jumps in a discretely observed process
• Option pricing when underlying stock returns are discontinuous
• Lévy-driven CARMA processes
• Discretization of processes.
• Do price and volatility jump together?
• Continuous Time Approximations to GARCH and Stochastic Volatility Models
• Extremal behavior of stochastic volatility models
• Continuous-time GARCH processes
• Method of moment estimation in the COGARCH(1,1) model
• An Exponential Continuous-Time GARCH Process
• Title not available (Why is that?)
• Functional relationships between price and volatility jumps and their consequences for discretely observed data
• The COGARCH: a review, with news on option pricing and statistical inference

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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