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Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods
Fičura, Milan; Witzany, Jiří - In: Finance a úvěr 66 (2016) 4, pp. 278-301
Persistent link: https://www.econbiz.de/10011532802
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Bipower variation with jumps and correlated returns
Duan, Yunpeng; Xue, Yi - In: Economics letters 125 (2014) 3, pp. 367-371
Persistent link: https://www.econbiz.de/10010506017
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Disentangling continuous volatility from jumps in long-run risk-return relationships
Jacquier, Eric; Okou, Cédric - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 544-583
Persistent link: https://www.econbiz.de/10010391947
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Volume, volatility, and public news announcements
Bollerslev, Tim; Li, Jia; Xue, Yuan - In: The review of economic studies 85 (2018) 4/305, pp. 2005-2041
Persistent link: https://www.econbiz.de/10012263342
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The Bayesian methods of jump detection : the example of gas and EUA contract prices
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 107-131
Persistent link: https://www.econbiz.de/10012294576
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Inference from high-frequency data : a subsampling approach
Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272
Persistent link: https://www.econbiz.de/10011818358
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Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
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Volatility swaps and volatility options on discretely sampled realized variance
Lian, Guanghua; Chiarella, Carl; Kalev, Petko S. - In: Journal of economic dynamics & control 47 (2014), pp. 239-262
Persistent link: https://www.econbiz.de/10010485855
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827