Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data
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Publication:4903032
DOI10.1239/jap/1354716647zbMath1263.60038OpenAlexW2080354725MaRDI QIDQ4903032
Claudia Klüppelberg, Jean Jacod, Gernot J. Müller
Publication date: 19 January 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1354716647
stochastic volatilityOrnstein-Uhlenbeck processLévy processhigh-frequency dataCARMACOGARCHcommon jumpsItô semimartingaleBarndorff-Nielsen Shephard modelcontinuous-time GARCH
Nonparametric hypothesis testing (62G10) Statistical methods; risk measures (91G70) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov processes: hypothesis testing (62M02)
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