The following pages link to Risk, jumps, and diversification (Q292155):
Displaying 29 items.
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
- Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
- Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- Realized jumps on financial markets and predicting credit spreads (Q737268) (← links)
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps (Q903344) (← links)
- Volatility spillovers, interdependence and comovements: a Markov switching approach (Q1023631) (← links)
- Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
- Cojumps and asset allocation in international equity markets (Q1734591) (← links)
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
- Testing for common arrivals of jumps for discretely observed multidimensional processes (Q2388981) (← links)
- State-domain change point detection for nonlinear time series regression (Q2697972) (← links)
- Three-point approach for estimating integrated volatility and integrated covariance (Q2879047) (← links)
- The identification of price jumps (Q2882552) (← links)
- Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
- Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market (Q4554423) (← links)
- Double-jump diffusion model for VIX: evidence from VVIX (Q4555075) (← links)
- Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
- Detecting and modelling the jump risk of CO<sub>2</sub>emission allowances and their impact on the valuation of option on futures contracts (Q5001169) (← links)
- Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952) (← links)
- Stock co-jump networks (Q6150522) (← links)
- Bayesian prediction of jumps in large panels of time series data (Q6202925) (← links)
- Systematic jump risk (Q6620071) (← links)
- Jump connectedness in the European foreign exchange market (Q6637733) (← links)
- Interconnectedness of cryptocurrency markets: an intraday analysis of volatility spillovers based on realized volatility decomposition (Q6644359) (← links)
