Volatility estimation and jump detection for drift-diffusion processes
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Cites work
- ARCH models as diffusion approximations
- Asymptotic theory for linear diffusions under alternative sampling schemes
- BETA-NORMAL DISTRIBUTION AND ITS APPLICATIONS
- Dating the timeline of financial bubbles during the subprime crisis
- Distributions and expectations of order statistics for possibly dependent random variables
- Double asymptotics for explosive continuous time models
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Handbook of Volatility Models and Their Applications
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- Jump-robust volatility estimation using nearest neighbor truncation
- Jumps in equilibrium prices and market microstructure noise
- Modeling and Forecasting Realized Volatility
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- On sample marginal quantiles for stationary processes
- On the Bahadur representation of sample quantiles for dependent sequences
- On the Moments of the Beta Normal Distribution
- On the order statistics from equally correlated normal random variables
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- Probability approximations via the Poisson clumping heuristic
- Quantile regression.
- Regression Quantiles
- Robust Statistics
- Selection and order statistics from correlated normal random variables
- Survival models based on the Ornstein-Uhlenbeck process
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- The Distribution of Realized Exchange Rate Volatility
- Time Series Regression with a Unit Root
Cited in
(12)- Editorial: Nonlinear financial econometrics JoE special issue introduction
- Double-smoothed drift estimation of jump-diffusion model
- Unit root test with high-frequency data
- Jump-robust volatility estimation using dynamic dual-domain integration method
- Drift in transaction-level asset price models
- Testing for jumps with robust spot volatility estimators
- Testing for jumps in a discretely observed price process with endogenous sampling times
- Bumvu estimators
- Realized drift
- Uncovering mild drift in asset prices with intraday high-frequency data
- Realized candlestick wicks
- Fractional stochastic volatility model
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