Volatility jumps
From MaRDI portal
Recommendations
- Volatility activity: specification and estimation
- Common price and volatility jumps in noisy high-frequency data
- Jump and volatility dynamics for the S\&P 500: evidence for infinite-activity jumps with non-affine volatility dynamics from stock and option markets
- The relationship between the volatility of returns and the number of jumps in financial markets
- Volatility in discrete and continuous-time models: a survey with new evidence on large and small jumps
Cited in
(96)- A tale of two volatilities
- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Pure jump models for pricing and hedging VIX derivatives
- Shifts in volatility driven by large stock market shocks
- Common price and volatility jumps in noisy high-frequency data
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- Mixed-scale jump regressions with bootstrap inference
- Testing for mutually exciting jumps and financial flights in high frequency data
- Resolution of policy uncertainty and sudden declines in volatility
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Bayesian estimation of dynamic asset pricing models with informative observations
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Testing for simultaneous jumps in case of asynchronous observations
- Smiles \& smirks: volatility and leverage by jumps
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
- High-frequency jump tests: which test should we use?
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- Change-point inference on volatility in noisy Itô semimartingales
- Chasing volatility. A persistent multiplicative error model with jumps
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- The fine structure of equity-index option dynamics
- COMFORT: a common market factor non-Gaussian returns model
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
- Parametric inference for discretely observed subordinate diffusions
- Volatility activity: specification and estimation
- 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
- Volatility in equilibrium: asymmetries and dynamic dependencies
- Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Volatility in discrete and continuous-time models: a survey with new evidence on large and small jumps
- Fixed-k inference for volatility
- Volatility occupation times
- Estimation of the instantaneous volatility
- Realized Laplace transforms for pure-jump semimartingales
- Double-jump diffusion model for VIX: evidence from VVIX
- Jump and volatility dynamics for the S\&P 500: evidence for infinite-activity jumps with non-affine volatility dynamics from stock and option markets
- Learning, confidence, and option prices
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Spiking the Volatility Punch
- An empirical examination of jump risk in U.S. equity and bond markets
- Stochastic volatility model with correlated jump sizes and independent arrivals
- Dark Matter in (Volatility and) Equity Option Risk Premiums
- Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
- Testing for jump spillovers without testing for jumps
- Macroeconomic fundamentals, jump dynamics and expected volatility
- Time-varying periodicity in intraday volatility
- Equivalent measure changes for subordinate diffusions
- Inference for option panels in pure-jump settings
- A regime-switching Heston model for VIX and S&P 500 implied volatilities
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
- Pricing variance swaps for stochastic volatilities with delay and jumps
- Deducing the implications of jump models for the structure of stock market crashes, rallies, jump arrival rates, and extremes
- Option pricing in some non-Lévy jump models
- The relationship between the volatility of returns and the number of jumps in financial markets
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
- Co-jumps and recursive preferences in portfolio choices
- A GMM approach to estimate the roughness of stochastic volatility
- Testing the volatility jumps based on the high frequency data
- Persistence of jump-induced tail risk and limits to arbitrage
- HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
- Affine Volterra processes with jumps
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
- Regulating stochastic clocks§
- Benefit volatility-targeting strategies in lifetime pension pools
- Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
- Disentangling Sources of High Frequency Market Microstructure Noise
- Estimating Jump Activity Using Multipower Variation
- The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
- Jumps or Staleness?
- The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models
- The rough Hawkes Heston stochastic volatility model
- Set-valued stochastic integrals for convoluted Lévy processes
- Modeling ex post variance jumps: implications for density and tail risk forecasting
- Robust estimation of integrated and spot volatility
- Jump detection in high-frequency order prices
- Nonparametric Test for Rough Volatility
- A study of American options under stochastic volatility and double exponential jumps
- Crypto inverse-power options and fractional stochastic volatility
- A simulation and empirical study of the maximum likelihood estimator for stochastic volatility jump-diffusion models
- Realized candlestick wicks
- Lévy processes with jumps governed by lower incomplete gamma subordinator and its variations
- Drift Bursts in Pure Jumps: Detection and Application to Bitcoin
- Factor models and mutually exciting jump processes for financial systemic risk
- Integrated variance estimation for assets traded in multiple venues
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Econometric analysis of jump-driven stochastic volatility models
- Causality effects in return volatility measures with random times
- Realized Laplace transforms for estimation of jump diffusive volatility models
- A hidden Markov model with dependence jumps for predictive modeling of multidimensional time-series
- A tale of two option markets: pricing kernels and volatility risk
- Do price and volatility jump together?
This page was built for publication: Volatility jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3089154)