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ECONIS (ZBW)
18
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1
Limit of random measures associated with the increments of a brownian semimartingale
Jacod, Jean
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 526-569
Persistent link: https://www.econbiz.de/10011987890
Saved in:
2
Inference for stochastic processes
Jacod, Jean
-
2010
Persistent link: https://www.econbiz.de/10003900783
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3
Comment on: limit of random measures associated with the increments of a Brownian Semimartingale
Li, Jia
;
Xiu, Dacheng
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 570-582
Persistent link: https://www.econbiz.de/10011987959
Saved in:
4
Comment on: limit of random measures associated with the increments of a Brownian Semimartingale
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 583-587
Persistent link: https://www.econbiz.de/10011987967
Saved in:
5
Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian mot...
Podolskij, Mark
;
Rosenbaum, Mathieu
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 588-598
Persistent link: https://www.econbiz.de/10011987969
Saved in:
6
Testing for non-correlation between price and volatility jumps
Jacod, Jean
;
Klüppelberg, Claudia
;
Müller, Gernot
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
Saved in:
7
Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine
;
Amengual, Dante
;
Manresa, Elena
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
Saved in:
8
Robust consumption and portfolio policies when asset prices can jump
Aït-Sahalia, Yacine
;
Matthys, Felix
- In:
Journal of economic theory
179
(
2019
),
pp. 1-56
Persistent link: https://www.econbiz.de/10012131456
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9
Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
10
Disentangling volatility from jumps
Aït-Sahalia, Yacine
-
2003
Persistent link: https://www.econbiz.de/10001790835
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