Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data
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Publication:4903032
DOI10.1239/jap/1354716647zbMath1263.60038MaRDI QIDQ4903032
Claudia Klüppelberg, Jean Jacod, Gernot J. 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
stochastic volatility; Ornstein-Uhlenbeck process; Lévy process; high-frequency data; CARMA; COGARCH; common jumps; Itô semimartingale; Barndorff-Nielsen Shephard model; continuous-time GARCH
62G10: Nonparametric hypothesis testing
91G70: Statistical methods; risk measures
60G48: Generalizations of martingales
60H30: Applications of stochastic analysis (to PDEs, etc.)
62M02: Markov processes: hypothesis testing
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