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Decoupling the short- and long-term behavior of stochastic volatility

Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2017

Persistent link: https://www.econbiz.de/10011706192

Hybrid scheme for Brownian semistationary processes

Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965

Persistent link: https://www.econbiz.de/10011944457

A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method

Brix, Anne Floor; Lunde, Asger; Wei, Wei - In: Energy economics 72 (2018), pp. 560-582

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A conjugate gamma model for durations in transaction data

Lunde, Asger - In: Econometric modelling of durations between economic events, (pp. 5-30). 1999

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A generalized gamma autoregressive conditional duration model

Lunde, Asger - In: Econometric modelling of durations between economic events, (pp. 31-68). 1999

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Estimating stochastic volatility models using predictionbased estimating functions

Lunde, Asger; Floor Brix, Anne - 2013

Persistent link: https://www.econbiz.de/10009763883

Discretization of Lévy semistationary processes with application to estimation

Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2014

Persistent link: https://www.econbiz.de/10010388017

Hybrid scheme for Brownian semistationary processes

Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2015

Persistent link: https://www.econbiz.de/10011343494

Decoupling the Short- and Long-Term Behavior of Stochastic Volatility

Bennedsen, Mikkel - 2017

We study the empirical properties of realized volatility of the E-mini S&P 500 futures contract at various time scales, ranging from a few minutes to one day. Our main finding is that intraday volatility is remarkably rough and persistent. What is more, by further studying daily realized...

Persistent link: https://www.econbiz.de/10012967996

Decoupling the short- and long-term behavior of stochastic volatility

Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Journal of financial econometrics 20 (2022) 5, pp. 961-1006

Persistent link: https://www.econbiz.de/10013460035