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~person:"Grant, Angelia L."
~person:"Tauchen, George Eugene"
~person:"Todorov, Viktor"
~subject:"Jumps"
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Jumps
Stochastic process
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Stochastischer Prozess
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Volatility
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Volatilität
43
Estimation
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Schätzung
19
Time series analysis
19
Zeitreihenanalyse
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jumps
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stochastic volatility
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high-frequency data
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Grant, Angelia L.
Tauchen, George Eugene
Todorov, Viktor
Li, Jia
4
Bollerslev, Tim
3
Aït-Sahalia, Yacine
2
Laurent, Sébastien
2
Laurini, Márcio Poletti
2
Li, Chenxu
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Aiube, Fernando Antônio Lucena
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Andersen, Torben
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Bu, Di
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Chaim, Pedro
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Chan, Joshua
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Chaves, Leonardo Salim Saker
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Chen, Liyuan
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Chen, Rui
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Chern, Shane
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Chorro, Christophe
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Clinet, Simon
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Creel, Michael D.
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Eom, Young Ho
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Journal of econometrics
2
Energy economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial economics
1
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1
Rank tests at jump events
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Lin, Huidi
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
Saved in:
2
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
3
Modeling energy price dynamics : GARCH versus stochastic volatility
Chan, Joshua
;
Grant, Angelia L.
- In:
Energy economics
54
(
2016
),
pp. 182-189
Persistent link: https://www.econbiz.de/10011662805
Saved in:
4
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Saved in:
5
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
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