Power variation from second order differences for pure jump semimartingales
Year of publication: |
2013
|
---|---|
Authors: | Todorov, Viktor |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 7, p. 2829-2850
|
Publisher: |
Elsevier |
Subject: | Lévy process | Blumenthal–Getoor index | Jump activity | Power variation | Stable convergence |
-
On the jump activity index for semimartingales
Jing, Bing-Yi, (2012)
-
Testing the characteristics of a Lévy process
Reiß, Markus, (2013)
-
Belomestny, Denis, (2013)
- More ...
-
Econometric analysis of jump-driven stochastic volatility models
Todorov, Viktor, (2011)
-
Jumps and betas: A new framework for disentangling and estimating systematic risks
Todorov, Viktor, (2010)
-
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Todorov, Viktor, (2010)
- More ...