The following pages link to Volatility Jumps (Q3089154):
Displaying 28 items.
- Dark Matter in (Volatility and) Equity Option Risk Premiums (Q5060490) (← links)
- Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters (Q5066397) (← links)
- Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
- Equivalent measure changes for subordinate diffusions (Q5243380) (← links)
- INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS (Q5243484) (← links)
- A regime-switching Heston model for VIX and S&P 500 implied volatilities (Q5247236) (← links)
- Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes (Q5392715) (← links)
- Option Pricing in Some Non-Lévy Jump Models (Q5739799) (← links)
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (Q5880804) (← links)
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (Q5964763) (← links)
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data (Q6039118) (← links)
- Co-jumps and recursive preferences in portfolio choices (Q6076757) (← links)
- A GMM approach to estimate the roughness of stochastic volatility (Q6108276) (← links)
- Testing the volatility jumps based on the high frequency data (Q6134625) (← links)
- Persistence of jump-induced tail risk and limits to arbitrage (Q6158431) (← links)
- HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? (Q6170144) (← links)
- Affine Volterra processes with jumps (Q6189179) (← links)
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data (Q6549590) (← links)
- Regulating stochastic clocks§ (Q6592292) (← links)
- Benefit volatility-targeting strategies in lifetime pension pools (Q6607485) (← links)
- Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise (Q6617600) (← links)
- Disentangling Sources of High Frequency Market Microstructure Noise (Q6617733) (← links)
- Estimating Jump Activity Using Multipower Variation (Q6620838) (← links)
- The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability (Q6623191) (← links)
- Jumps or Staleness? (Q6626220) (← links)
- The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models (Q6626222) (← links)
- The rough Hawkes Heston stochastic volatility model (Q6641084) (← links)
- Set-valued stochastic integrals for convoluted Lévy processes (Q6671628) (← links)
