Pages that link to "Item:Q605940"

The following pages link to Is Brownian motion necessary to model high-frequency data? (Q605940):

Displaying 45 items.

• Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361) (← links)
• Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
• Small-time expansions for local jump-diffusion models with infinite jump activity (Q395997) (← links)
• Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503) (← links)
• Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
• Testing the local volatility assumption: a statistical approach (Q470421) (← links)
• Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
• Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale (Q529427) (← links)
• Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
• Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies (Q744376) (← links)
• Trading-flow assisted estimation of the jump activity index (Q829093) (← links)
• Limit theorems for moving averages of discretized processes plus noise (Q973875) (← links)
• Effects of jumps and small noise in high-frequency financial econometrics (Q1627808) (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
• Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
• `Purposely misspecified' posterior inference on the volatility of a jump diffusion process (Q1698256) (← links)
• A diffusion approximation for limit order book models (Q2010486) (← links)
• Bandwidth selection of nonparametric threshold estimator in jump-diffusion models (Q2013803) (← links)
• Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
• Change-point inference on volatility in noisy Itô semimartingales (Q2280017) (← links)
• A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
• Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
• Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process (Q2326069) (← links)
• Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
• Testing for pure-jump processes for high-frequency data (Q2343966) (← links)
• The fine structure of equity-index option dynamics (Q2347729) (← links)
• Testing long memory based on a discretely observed process (Q2362937) (← links)
• Optimally thresholded realized power variations for Lévy jump diffusion models (Q2447648) (← links)
• Testing the characteristics of a Lévy process (Q2447654) (← links)
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling (Q2636938) (← links)
• TESTING FOR CONTINUOUS LOCAL MARTINGALES USING THE CROSSING TREE (Q2802751) (← links)
• On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) (← links)
• Instantaneous portfolio theory (Q4554500) (← links)
• Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models (Q4682702) (← links)
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
• Characterizing financial crises using high-frequency data (Q5079366) (← links)
• Third-order short-time expansions for close-to-the-money option prices under the CGMY model (Q5373916) (← links)
• Modelling and Prediction of Financial Time Series (Q5419653) (← links)
• Optimal Execution with Quadratic Variation Inventories (Q6169622) (← links)
• Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory (Q6597918) (← links)
• Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise (Q6617600) (← links)
• Estimating Jump Activity Using Multipower Variation (Q6620838) (← links)