Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (Q4903032)

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scientific article; zbMATH DE number 6127034
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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)
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    19 January 2013
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    Barndorff-Nielsen Shephard model
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    CARMA
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    continuous-time GARCH
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    COGARCH
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    common jumps
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    high-frequency data
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    Itô semimartingale
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    Lévy process
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    Ornstein-Uhlenbeck process
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    stochastic volatility
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