Pages that link to "Item:Q2512607"

The following pages link to Volatility activity: specification and estimation (Q2512607):

Displaying 13 items.

• Volatility occupation times (Q385768) (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
• Nonparametric estimation of jump diffusion models (Q2024442) (← links)
• The drift burst hypothesis (Q2116347) (← links)
• A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
• Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
• Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
• Adaptive estimation of continuous-time regression models using high-frequency data (Q2398973) (← links)
• Volatility Jumps (Q3089154) (← links)
• Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets* (Q4555662) (← links)
• Bootstrapping High-Frequency Jump Tests (Q5231507) (← links)
• The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (Q5964763) (← links)