Realized Laplace transforms for estimation of jump diffusive volatility models
From MaRDI portal
Publication:738034
DOI10.1016/J.JECONOM.2011.06.016zbMATH Open1441.62889OpenAlexW2119657892MaRDI QIDQ738034FDOQ738034
Iaryna Grynkiv, Viktor Todorov, George Tauchen
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.06.016
Recommendations
- Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
- The realized Laplace transform of volatility
- Large deviation principles of realized Laplace transform of volatility
- Rate efficient estimation of realized Laplace transform of volatility with microstructure noise
- Realized Laplace transforms for pure-jump semimartingales
- Real-time estimation scheme for the spot cross volatility of jump diffusion processes
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data
- Estimating stochastic volatility models using realized measures
Processes with independent increments; Lévy processes (60G51) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- The empirical characteristic function and its applications
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Generalization of GMM to a continuum of moment conditions
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Empirical Characteristic Function Estimation and Its Applications
- Title not available (Why is that?)
- The estimation of the parameters of the stable laws
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Financial Modelling with Jump Processes
- Title not available (Why is that?)
- Estimation of affine asset pricing models using the empirical characteristic function
- Tempering stable processes
- Alternative models for stock price dynamics.
- On Estimation of a Probability Density Function and Mode
- An MCMC approach to classical estimation.
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Modeling and Forecasting Realized Volatility
- Econometric analysis of jump-driven stochastic volatility models
- Affine processes and applications in finance
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Estimating the degree of activity of jumps in high frequency data
- Title not available (Why is that?)
- Title not available (Why is that?)
- Estimation of jump tails
- Fisher's Information for Discretely Sampled Lvy Processes
- Realized Laplace transforms for pure-jump semimartingales
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- The realized Laplace transform of volatility
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- Density approximations for multivariate affine jump-diffusion processes
- ARMA representation of integrated and realized variances
- Activity signature functions for high-frequency data analysis
- Volatility Jumps
- EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
- ECF estimation of Markov models where the transition density is unknown
Cited In (10)
- Realized Laplace transforms for pure-jump semimartingales
- Asymptotic inference about predictive accuracy using high frequency data
- Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Testing for pure-jump processes for high-frequency data
- Volatility activity: specification and estimation
- Bootstrapping Laplace transforms of volatility
- Large deviation principles of realized Laplace transform of volatility
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
This page was built for publication: Realized Laplace transforms for estimation of jump diffusive volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738034)
