Econometric analysis of jump-driven stochastic volatility models
From MaRDI portal
Publication:737254
DOI10.1016/j.jeconom.2010.03.009zbMath1441.62888MaRDI QIDQ737254
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.009
stochastic volatility; Lévy process; quadratic variation; power variation; realized variance; method-of-moments
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Model verification for Lévy-driven CARMA(2,1) processes, CONVERGENCE RATES OF SUMS OF α-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES, Volatility analysis with realized GARCH-Itô models, Estimation of continuous-time stochastic volatility models with jumps using high-frequency data, Stochastic volatility and stochastic leverage, Large deviations of realized volatility, Realized Laplace transforms for estimation of jump diffusive volatility models, Implementation of Lévy CARMA model in \texttt{yuima} package, Option pricing for stochastic volatility model with infinite activity Lévy jumps, Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine, Pricing foreign equity option under stochastic volatility tempered stable Lévy processes, Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model, Option pricing and hedging for optimized Lévy driven stochastic volatility models, Power variation from second order differences for pure jump semimartingales, Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations, Integration of CARMA processes and spot volatility modelling
Cites Work
- Diagnostic testing and evaluation of maximum likelihood models
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- Tempering stable processes
- Continuous-time GARCH processes
- An MCMC approach to classical estimation.
- Affine processes and applications in finance
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- The Distribution of Realized Exchange Rate Volatility
- Stochastic Volatility for Lévy Processes
- Power Variation and Time Change
- Lévy-driven CARMA processes
