Estimation of Jump Tails
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Publication:2892447
DOI10.3982/ECTA9240zbMath1241.91136MaRDI QIDQ2892447
Tim Bollerslev, Viktor Todorov
Publication date: 18 June 2012
Published in: Econometrica (Search for Journal in Brave)
Related Items (22)
Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes ⋮ Long memory behavior of returns after intraday financial jumps ⋮ Nonparametric inference on Lévy measures and copulas ⋮ Nonparametric jump variation measures from options ⋮ Permutation‐based tests for discontinuities in event studies ⋮ Intraday cross-sectional distributions of systematic risk ⋮ The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets ⋮ Persistence of jump-induced tail risk and limits to arbitrage ⋮ Testing for self-excitation in jumps ⋮ ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION ⋮ Time-varying jump tails ⋮ Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions ⋮ Jump tails, extreme dependencies, and the distribution of stock returns ⋮ Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale ⋮ Efficient estimation and filtering for multivariate jump-diffusions ⋮ EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS ⋮ Time-Varying Periodicity in Intraday Volatility ⋮ Realized Laplace transforms for estimation of jump diffusive volatility models ⋮ Volatility coupling ⋮ High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS ⋮ Variation and efficiency of high-frequency betas
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