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Hybrid scheme for Brownian semistationary processes

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

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

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

A conjugate gamma model for durations in transaction data

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

Persistent link: https://www.econbiz.de/10001442374

A generalized gamma autoregressive conditional duration model

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

Persistent link: https://www.econbiz.de/10001442379

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