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High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)

Persistent link: https://www.econbiz.de/10012606872

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487

Persistent link: https://www.econbiz.de/10012483405

Volatility analysis with realized GARCH-Itô models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410

Persistent link: https://www.econbiz.de/10012619433

Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter

Rigatos, G.; Zervos, N. - In: Computational economics 50 (2017) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011762181

Realized Laplace transforms for estimation of jump diffusive volatility models

Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 164 (2011) 2, pp. 367-381

Persistent link: https://www.econbiz.de/10009301899

Realized Laplace Transforms for estimation of jump diffusive volatility models

Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - 2010

Persistent link: https://www.econbiz.de/10009560323

Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models

Todorov, Viktor - 2010

We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …-day data into the Realized Laplace Transform of volatility, which is a model-free and jump-robust estimate of daily integrated …

Persistent link: https://www.econbiz.de/10013137409

An application of damped diffusion for modeling volatility dynamics

Hung, Mao-Wei; Ko, Yi-Chen; Wang, Jr-Yan - In: Journal of financial econometrics 21 (2023) 3, pp. 779-809

Persistent link: https://www.econbiz.de/10014314820

On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method

Cacace, Filippo; Germani, Alfredo; Papi, Marco - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 503-525

Persistent link: https://www.econbiz.de/10012127257

VIX derivatives valuation and estimation based on closed-form series expansions

Zhao, Zhe; Cui, Zhenyu; Florescu, Ionuţ - In: International journal of financial engineering 5 (2018) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10011923012

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