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Schätzung
Lévy process
203
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103
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101
Option pricing theory
85
Optionspreistheorie
85
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52
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stable convergence
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stochastic volatility
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power variation
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option pricing
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Liu, Zhi
3
Andersen, Torben
2
Chevallier, Julien
2
Goutte, Stéphane
2
Todorov, Viktor
2
Bondarenko, Oleg
1
Leicht, Jonathan Josef
1
Liu, Qiang
1
Papantonis, Ioannis
1
Polimenis, Vassilis
1
Rathgeber, Andreas W.
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Journal of econometrics
2
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1
Finance and stochastics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of derivatives & hedge funds
1
Journal of risk finance : the convergence of financial products and insurance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
9
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1
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 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:
3
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
4
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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5
On bivariate time-varying price staleness
Zhu, Haibin
;
Liu, Zhi
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 229-242
Persistent link: https://www.econbiz.de/10014449902
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6
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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7
Guaranteed stop orders as portfolio insurance : an analysis for the German stock market
Leicht, Jonathan Josef
;
Rathgeber, Andreas W.
- In:
Journal of derivatives & hedge funds
20
(
2014
)
4
,
pp. 257-278
Persistent link: https://www.econbiz.de/10010462895
Saved in:
8
On the estimation of regime-switching Lévy models
Chevallier, Julien
;
Goutte, Stéphane
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
Saved in:
9
Cross-country performance of Lévy regime-switching models for stock markets
Chevallier, Julien
;
Goutte, Stéphane
- In:
Applied economics
49
(
2017
)
2
,
pp. 111-137
Persistent link: https://www.econbiz.de/10011810520
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