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Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter

Woerner, Jeannette H. C. - 2003

Persistent link: https://www.econbiz.de/10009581651

Discrete time series, processes, and applications in finance

Zumbach, Gilles O. - 2013

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

Persistent link: https://www.econbiz.de/10009634376

Option pricing with quadratic volatility : a revisit

Andersen, Leif B. G. - In: Finance and stochastics 15 (2011) 2, pp. 191-219

Persistent link: https://www.econbiz.de/10009159127

Empirically based modeling in financial economics and beyond, and spurious stylized facts

Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: International review of financial analysis 17 (2008) 5, pp. 767-783

Persistent link: https://www.econbiz.de/10003792190

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214