Pages that link to "Item:Q1657876"

The following pages link to Common price and volatility jumps in noisy high-frequency data (Q1657876):

Displaying 24 items.

• 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 (Q277161) (← links)
• Risk, jumps, and diversification (Q292155) (← links)
• Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
• Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
• Effects of jumps and small noise in high-frequency financial econometrics (Q1627808) (← links)
• The effect of infrequent trading on detecting price jumps (Q1633220) (← links)
• Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
• Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
• Volatility estimation and jump detection for drift-diffusion processes (Q2190225) (← links)
• Statistical inferences for price staleness (Q2190239) (← links)
• High-frequency jump tests: which test should we use? (Q2224890) (← links)
• Change-point inference on volatility in noisy Itô semimartingales (Q2280017) (← links)
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
• Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
• Volatility Jumps (Q3089154) (← links)
• Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps (Q3295735) (← links)
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
• (Q5260059) (← links)
• Testing the volatility jumps based on the high frequency data (Q6134625) (← links)
• HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? (Q6170144) (← links)
• Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise (Q6617600) (← links)
• Tests for Jumps in Yield Spreads (Q6626261) (← links)