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Lévy process
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2
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7
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6
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5
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ECONIS (ZBW)
RePEc
147
EconStor
26
BASE
5
Other ZBW resources
2
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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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2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter
Woerner, Jeannette H. C.
-
2003
Persistent link: https://www.econbiz.de/10009581651
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7
Estimation of integrated volatility in stochastic volatility models
Woerner, Jeannette H. C.
-
2003
Persistent link: https://www.econbiz.de/10009581654
Saved in:
8
Variational sums and power variation : a unifying approach to model selection and estimation in semimartingale models
Woerner, Jeannette H. C.
-
2002
Persistent link: https://www.econbiz.de/10009581659
Saved in:
9
Equilibrium asset returns in financial markets
Madan, Dilip B.
;
Schoutens, Wim
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-43
Persistent link: https://www.econbiz.de/10012013852
Saved in:
10
Testing for endogeneity of irregular sampling schemes
Kolokolov, Aleksey
;
Livieri, Giulia
;
Pirino, Davide
-
2022
Persistent link: https://www.econbiz.de/10014252208
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