Volatility activity : specification and estimation
Year of publication: |
2014
|
---|---|
Authors: | Todorov, Viktor ; Tauchen, George Eugene ; Grynkiv, Iaryna |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 178.2014, 1, p. 180-193
|
Subject: | Asymmetric volatility activity | High-frequency data | Laplace transform | Signed power variation | Specification testing | Stochastic volatility | Volatility jumps | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Schätzung | Estimation | Börsenkurs | Share price | Nichtparametrisches Verfahren | Nonparametric statistics |
-
Common price and volatility jumps in noisy high-frequency data
Bibinger, Markus, (2014)
-
Li, Jia, (2017)
-
Maneesoonthorn, Worapree, (2018)
- More ...
-
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Todorov, Viktor, (2010)
-
Volatility Activity : Specification and Estimation
Todorov, Viktor, (2011)
-
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor, (2011)
- More ...