The following pages link to Volatility Jumps (Q3089154):
Displaying 50 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)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Volatility occupation times (Q385768) (← links)
- Estimation of the instantaneous volatility (Q411549) (← links)
- Realized Laplace transforms for pure-jump semimartingales (Q447866) (← links)
- Learning, confidence, and option prices (Q494363) (← links)
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202) (← links)
- Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- Econometric analysis of jump-driven stochastic volatility models (Q737254) (← links)
- Causality effects in return volatility measures with random times (Q737283) (← links)
- Realized Laplace transforms for estimation of jump diffusive volatility models (Q738034) (← links)
- A hidden Markov model with dependence jumps for predictive modeling of multidimensional time-series (Q778379) (← links)
- A tale of two option markets: pricing kernels and volatility risk (Q894646) (← links)
- Do price and volatility jump together? (Q990387) (← links)
- A tale of two volatilities (Q1037571) (← links)
- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (Q1624494) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
- Shifts in volatility driven by large stock market shocks (Q1657558) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- Mixed-scale jump regressions with bootstrap inference (Q1676389) (← links)
- Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
- Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale (Q1713462) (← links)
- Bayesian estimation of dynamic asset pricing models with informative observations (Q1740278) (← links)
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- Testing for simultaneous jumps in case of asynchronous observations (Q1750093) (← links)
- Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data (Q2209820) (← links)
- High-frequency jump tests: which test should we use? (Q2224890) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Change-point inference on volatility in noisy Itô semimartingales (Q2280017) (← 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 fine structure of equity-index option dynamics (Q2347729) (← links)
- COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
- Parametric inference for discretely observed subordinate diffusions (Q2417988) (← links)
- Volatility activity: specification and estimation (Q2512607) (← links)
- Volatility in equilibrium: asymmetries and dynamic dependencies (Q2919956) (← links)
- Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures (Q3018503) (← links)
- Double-jump diffusion model for VIX: evidence from VVIX (Q4555075) (← 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)
- On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach (Q4990515) (← links)
- Spiking the Volatility Punch (Q4994679) (← links)
- STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS (Q5051922) (← links)
