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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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Alternative variance-ratio tests using ranks and signs
Wright, Jonathan H. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10001441577
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Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi; Kong, Xin-Bing; Jing, Bingyi - In: Journal of econometrics 204 (2018) 1, pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo; Barone-Adesi, Giovanni - 2015
martingale, as required by the theory, but a strict local martingale with consequences on the validity of the risk … filtration set so that an absolutely continuous strict local martingale, once projected on it, becomes continuous with jumps …
Persistent link: https://www.econbiz.de/10011506352
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Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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Testing the martingale restriction for option implied densities
Busch, Thomas - In: Review of derivatives research 11 (2008) 1/2, pp. 61-81
Persistent link: https://www.econbiz.de/10003829557
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Testing the martingale restriction for option implied densities
Busch, Thomas (contributor) - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622