Econometric analysis of jump-driven stochastic volatility models

DOI10.1016/j.jeconom.2010.03.009zbMath1441.62888OpenAlexW2052066969MaRDI QIDQ737254

Viktor Todorov

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.009

zbMATH Keywords

stochastic volatilityLévy processquadratic variationpower variationrealized variancemethod-of-moments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (16)

Option pricing for stochastic volatility model with infinite activity Lévy jumps ⋮ Estimation of continuous-time stochastic volatility models with jumps using high-frequency data ⋮ Pricing foreign equity option under stochastic volatility tempered stable Lévy processes ⋮ Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model ⋮ Option pricing and hedging for optimized Lévy driven stochastic volatility models ⋮ Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations ⋮ CONVERGENCE RATES OF SUMS OF α-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES ⋮ Implementation of Lévy CARMA model in \texttt{yuima} package ⋮ Power variation from second order differences for pure jump semimartingales ⋮ Stochastic volatility and stochastic leverage ⋮ Large deviations of realized volatility ⋮ Model verification for Lévy-driven CARMA(2,1) processes ⋮ Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine ⋮ Volatility analysis with realized GARCH-Itô models ⋮ Realized Laplace transforms for estimation of jump diffusive volatility models ⋮ Integration of CARMA processes and spot volatility modelling

Cites Work

• Diagnostic testing and evaluation of maximum likelihood models
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• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
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• Tempering stable processes
• Continuous-time GARCH processes
• An MCMC approach to classical estimation.
• Affine processes and applications in finance
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• Stochastic Volatility for Lévy Processes
• Power Variation and Time Change
• Lévy-driven CARMA processes

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