Pages that link to "Item:Q737268"
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The following pages link to Realized jumps on financial markets and predicting credit spreads (Q737268):
Displaying 20 items.
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
- A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065) (← links)
- Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
- Data-based ranking of realised volatility estimators (Q530606) (← links)
- Estimation of stable distributions by indirect inference (Q530608) (← links)
- High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
- Modelling credit spreads with time volatility, skewness, and kurtosis (Q1615804) (← links)
- Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
- Forecasting credit losses with the reversal in credit spreads (Q1741762) (← links)
- Corporate credit risk prediction under stochastic volatility and jumps (Q1991927) (← links)
- High-frequency jump tests: which test should we use? (Q2224890) (← links)
- Forecasting the volatility of crude oil futures using intraday data (Q2256329) (← links)
- Forecasting credit spread volatility: evidence from the Japanese Eurobond market (Q2575430) (← links)
- Approximation of the invariant distribution for a class of ergodic jump diffusions (Q5140347) (← links)
- Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models (Q5162845) (← links)
- Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
- The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets (Q6148782) (← links)
- Testing for jumps with robust spot volatility estimators (Q6490929) (← links)
