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  • Search: subject:"Jump activity"
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Year of publication
Subject
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Volatility 6 Volatilität 6 Jump activity 5 Stochastic process 4 Stochastischer Prozess 4 Aktienindex 2 Börsenkurs 2 Estimation 2 Estimation theory 2 High-frequency data 2 Ito semimartingale 2 Jump activity index 2 Kolmogorov-Smirnov test 2 Multipower variation 2 Nichtparametrisches Verfahren 2 Nonparametric statistics 2 Option pricing theory 2 Optionspreistheorie 2 Power variation 2 Schätztheorie 2 Schätzung 2 Share price 2 Stable convergence 2 Stock index 2 Time series analysis 2 VIX index 2 Zeitreihenanalyse 2 asymptotic behavior 2 high-frequency data 2 jump activity 2 jump activity index 2 test statistic 2 Affine jump-diffusion models 1 Aktienmarkt 1 Bitcoin 1 Blumenthal–Getoor index 1 Capital income 1 Financial market regulation 1 Finanzmarktregulierung 1 High frequency 1
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Online availability
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Undetermined 8 Free 3
Type of publication
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Article 8 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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English 8 Undetermined 3
Author
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Todorov, Viktor 3 Bondarenko, Oleg 2 Kolokolov, Aleksey 2 Liu, Zhi 2 Mancini, Cecilia 2 Andersen, Torben 1 Andersen, Torben G. 1 Chan, Lin Kun 1 Chu, Shan-Ying 1 Fonseca, José da 1 Ignatieva, Ekaterina 1 Jing, Bing-Yi 1 Kong, Xin-Bing 1 Liu, Qiang 1 Mykland, Per 1 Renò, Roberto 1 Tauchen, George 1 Tauchen, George Eugene 1 Yeh, Jin-huei 1
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Institution
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School of Economics and Management, University of Aarhus 1
Published in...
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Working paper series 2 CREATES Research Papers 1 Journal of Econometrics 1 Journal of banking & finance 1 Journal of econometrics 1 Stochastic Processes and their Applications 1 The North American journal of economics and finance : a journal of financial economics studies 1 The econometrics journal 1
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Source
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ECONIS (ZBW) 8 RePEc 3
Showing 1 - 10 of 11
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Drift burst test statistic in the presence of infinite variation jumps
Mancini, Cecilia - 2022
Persistent link: https://www.econbiz.de/10013535744
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Jumps or staleness?
Kolokolov, Aleksey; Renò, Roberto - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 516-532
Persistent link: https://www.econbiz.de/10015053424
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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
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Drift burst test statistic in a pure jump semimartingale model
Mancini, Cecilia - 2021
Persistent link: https://www.econbiz.de/10013347728
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Estimating jump activity using multipower variation
Kolokolov, Aleksey - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 128-140
Persistent link: https://www.econbiz.de/10012804092
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Jump activity analysis for affine jump-diffusion models : evidence from the commodity market
Fonseca, José da; Ignatieva, Ekaterina - In: Journal of banking & finance 99 (2019), pp. 45-62
Persistent link: https://www.econbiz.de/10012162294
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The stabilizing effects of price limits : new evidence from jump contributed price variations
Chu, Shan-Ying; Chan, Lin Kun; Yeh, Jin-huei - In: The North American journal of economics and finance : a … 48 (2019), pp. 529-539
Persistent link: https://www.econbiz.de/10012120294
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The Fine Structure of Equity-Index Option Dynamics
Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; … - School of Economics and Management, University of Aarhus - 2013
We analyze the high-frequency dynamics of S&P 500 equity-index option prices by constructing an assortment of implied volatility measures. This allows us to infer the underlying fine structure behind the innovations in the latent state variables driving the movements of the volatility surface....
Persistent link: https://www.econbiz.de/10010851229
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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Power variation from second order differences for pure jump semimartingales
Todorov, Viktor - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2829-2850
jump process than for the standard power variation. We apply these results for estimation of the jump activity as well as …
Persistent link: https://www.econbiz.de/10011065044
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