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Optimally thresholded realized power variations for Lévy jump diffusion models
Figueroa-López, José E.; Nisen, Jeffrey - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2648-2677
Thresholded Realized Power Variations (TPVs) are one of the most popular nonparametric estimators for general continuous-time processes with a wide range of applications. In spite of their popularity, a common drawback lies in the necessity of choosing a suitable threshold for the estimator, an...
Persistent link: https://www.econbiz.de/10011065046
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Volatility models for cryptocurrencies and applications in the options market
Chi, Yeguang; Hao, Wenyan - In: Journal of international financial markets, … 75 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012820318
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Volatility model applications in China's SSE50 options market
Chi, Yeguang; Hao, Wenyan; Zhang, Yifei - In: The journal of futures markets 42 (2022) 9, pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
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Modeling jumps and volatility of the indian stock market using high-frequency data
Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics 14 (2016) 1, pp. 137-150
Persistent link: https://www.econbiz.de/10012418200
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The effect of intraday periodicity on realized volatility measures
Dette, Holger; Golosnoy, Vasyl; Kellermann, Janosch - 2016
Persistent link: https://www.econbiz.de/10012388669
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Identifying events in financial time series : a new approach with bipower variation
Andor, György; Bohák, András - In: Finance research letters 22 (2017), pp. 42-48
Persistent link: https://www.econbiz.de/10011807956
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A slightly depressing jump model : intraday volatility pattern simulation
Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224
Persistent link: https://www.econbiz.de/10011905864
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Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - In: Quantitative finance 18 (2018) 2, pp. 283-293
Persistent link: https://www.econbiz.de/10011906340
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Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data
Chen, Yi-Ting; Lai, Wan-Ni; Sun, Edward W. - In: Computational economics 54 (2019) 2, pp. 809-844
Persistent link: https://www.econbiz.de/10012134380
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Modeling jumps and volatility of the Indian stock market using high-frequency data
Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics : official journal of … 14 (2016) 1, pp. 137-150
Persistent link: https://www.econbiz.de/10011639870