Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (Q4903032)
From MaRDI portal
scientific article; zbMATH DE number 6127034
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data |
scientific article; zbMATH DE number 6127034 |
Statements
Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (English)
0 references
19 January 2013
0 references
Barndorff-Nielsen Shephard model
0 references
CARMA
0 references
continuous-time GARCH
0 references
COGARCH
0 references
common jumps
0 references
high-frequency data
0 references
Itô semimartingale
0 references
Lévy process
0 references
Ornstein-Uhlenbeck process
0 references
stochastic volatility
0 references
0 references
0 references
0 references
