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Search: subject:"Jump intensity"
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Volatility
27
Volatilität
27
Jump intensity
15
jump intensity
14
Option pricing theory
13
Optionspreistheorie
13
Stochastic process
13
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13
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11
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11
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4
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4
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4
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4
high-frequency data
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jump size
4
sequential testing bias
4
time-varying jump intensity
4
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4
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3
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3
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3
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3
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Swanson, Norman R.
5
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4
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4
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3
Yang, Xiye
3
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2
Chen, Chun-Da
2
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2
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2
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2
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2
Guo, Yuqiang
2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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2
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1
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1
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1
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Instituto Valenciano de Investigaciones Económicas (IVIE)
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ECONIS (ZBW)
35
RePEc
12
EconStor
4
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20
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11
News arrival, time-varying
jump
intensity
, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
12
Understanding how ESG-focused airlines reduce the impact of the COVID-19 pandemic on stock returns
Chen, Chun-Da
;
Su, Ching-Hui
;
Chen, Ming-Hsiang
- In:
Journal of air transport management
102
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013272651
Saved in:
13
Are ESG-committed hotels financially resilient to the COVID-19 pandemic? : an autoregressive
jump
intensity
trend model
Chen, Chun-Da
;
Su, Ching-Hui
;
Chen, Ming-Hsiang
- In:
Tourism management : research, policies, practice
93
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013366093
Saved in:
14
Time-varying skew in vix derivatives pricing
Yuan, Peixuan
- In:
Management science : journal of the Institute for …
68
(
2022
)
10
,
pp. 7761-7791
Persistent link: https://www.econbiz.de/10013546174
Saved in:
15
Directly pricing VIX futures : the role of dynamic volatility and
jump
intensity
Wang, Tianyi
;
Cheng, Sicong
;
Yin, Fangsheng
;
Yu, Mei
- In:
Applied economics
54
(
2022
)
32
,
pp. 3678-3694
Persistent link: https://www.econbiz.de/10013410814
Saved in:
16
Fixed and long time span jump tests: New Monte Carlo and empirical evidence
Cheng, Mingmian
;
Swanson, Norman R.
- In:
Econometrics
7
(
2019
)
1
,
pp. 1-32
magnitude of the
jump
intensity
parameter in the data generating process, and which are consistent. In this paper, long span …
Persistent link: https://www.econbiz.de/10012696228
Saved in:
17
Fixed and long time span jump tests : new Monte Carlo and empirical evidence
Cheng, Mingmian
;
Swanson, Norman R.
- In:
Econometrics : open access journal
7
(
2019
)
1/13
,
pp. 1-32
magnitude of the
jump
intensity
parameter in the data generating process, and which are consistent. In this paper, long span …
Persistent link: https://www.econbiz.de/10012025640
Saved in:
18
Relationships among US S&P500 stock index, its futures and NASDAQ index futures with volatility spillover and jump diffusion : modeling and hedging performance
Liu, Hsiang-Hsi
;
Lin, Yu-Cheng
- In:
Bulletin of applied economics
8
(
2022
)
1
,
pp. 121-148
Persistent link: https://www.econbiz.de/10013271045
Saved in:
19
Time-varying crash risk embedded in index options : the role of stock market liquidity
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
; …
- In:
Review of finance : journal of the European Finance …
25
(
2021
)
4
,
pp. 1261-1298
Persistent link: https://www.econbiz.de/10012594641
Saved in:
20
Model specification of conditional
jump
intensity
: Evidence from S&P 500 returns and option prices
Cheng, Hung-Wen
;
Lo, Chien-Ling
;
Tsai, Jeffrey Tzuhao
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012667167
Saved in:
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