Realized Laplace transforms for estimation of jump diffusive volatility models
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Cites work
- scientific article; zbMATH DE number 3159046 (Why is no real title available?)
- scientific article; zbMATH DE number 4126526 (Why is no real title available?)
- scientific article; zbMATH DE number 1995731 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
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- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Econometric analysis of jump-driven stochastic volatility models
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Empirical Characteristic Function Estimation and Its Applications
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Estimating the degree of activity of jumps in high frequency data
- Estimation of affine asset pricing models using the empirical characteristic function
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Estimation of jump tails
- Financial Modelling with Jump Processes
- Fisher's Information for Discretely Sampled Lvy Processes
- Generalization of GMM to a continuum of moment conditions
- Large Sample Properties of Generalized Method of Moments Estimators
- Modeling and Forecasting Realized Volatility
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- On Estimation of a Probability Density Function and Mode
- Realized Laplace transforms for pure-jump semimartingales
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- Tempering stable processes
- The empirical characteristic function and its applications
- The estimation of the parameters of the stable laws
- The realized Laplace transform of volatility
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Volatility jumps
Cited in
(13)- Global jump filters and quasi-likelihood analysis for volatility
- The realized Laplace transform of volatility
- Asymptotic inference about predictive accuracy using high frequency data
- Efficient estimation of integrated volatility functionals under general volatility dynamics
- Bootstrapping Laplace transforms of volatility
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Realized Laplace transforms for pure-jump semimartingales
- Testing for pure-jump processes for high-frequency data
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Large deviation principles of realized Laplace transform of volatility
- Volatility activity: specification and estimation
- Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
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