Pages that link to "Item:Q295396"

The following pages link to Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396):

Displaying 39 items.

• Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
• Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
• Testing for jumps in noisy high frequency data (Q527932) (← links)
• Testing whether jumps have finite or infinite activity (Q638809) (← links)
• Realised quantile-based estimation of the integrated variance (Q736690) (← links)
• Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279) (← links)
• Testing and detecting jumps based on a discretely observed process (Q738031) (← links)
• Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
• The effect of infrequent trading on detecting price jumps (Q1633220) (← links)
• Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
• Cojumps and asset allocation in international equity markets (Q1734591) (← links)
• Testing for the presence of jump components in jump diffusion models (Q2172017) (← links)
• The term structure of equity and variance risk premia (Q2224879) (← links)
• High-frequency jump tests: which test should we use? (Q2224890) (← links)
• Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
• Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
• Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
• Testing for common arrivals of jumps for discretely observed multidimensional processes (Q2388981) (← links)
• Measuring the relevance of the microstructure noise in financial data (Q2447651) (← links)
• State-domain change point detection for nonlinear time series regression (Q2697972) (← links)
• Estimation of quarticity with high-frequency data (Q2873034) (← links)
• The identification of price jumps (Q2882552) (← links)
• Bayesian Approach to Markov Switching Stochastic Volatility Model with Jumps (Q3102909) (← links)
• Dynamics of Intraday Serial Correlation in China's Stock Market (Q3102911) (← links)
• Identifying Jumps in Asset Prices (Q3112467) (← links)
• Forecasting and trading high frequency volatility on large indices (Q4554453) (← links)
• Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
• EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION (Q4906526) (← links)
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
• A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY (Q4979933) (← links)
• Detection of jumps in financial time series (Q5083982) (← links)
• Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
• Bootstrapping High-Frequency Jump Tests (Q5231507) (← links)
• Jump detection with wavelets for high-frequency financial time series (Q5245902) (← links)
• Volatility measurement with pockets of extreme return persistence (Q6090561) (← links)
• Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
• Detection of jumps in financial market (Q6544944) (← links)
• Jumps or Staleness? (Q6626220) (← links)