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Year of publication
Subject
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Estimation theory 2 Ito semimartingale 2 Martingal 2 Martingale 2 Schätztheorie 2 Statistical test 2 Statistical theory 2 Statistische Methodenlehre 2 Statistischer Test 2 Stochastic process 2 Stochastischer Prozess 2 Time series analysis 2 Zeitreihenanalyse 2 asymptotic behavior 2 jump activity index 2 test statistic 2 Kolmogorov-Smirnov test 1 VIX index 1 VPIN 1 high-frequency data 1 implied volatility 1 infinite variation jumps 1 jump activity 1 stable process 1 stochastic volatility 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 3
Type of publication (narrower categories)
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Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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English 2 Undetermined 1
Author
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Mancini, Cecilia 2 Andersen, Torben G. 1 Bondarenko, Oleg 1 Tauchen, George 1 Todorov, Viktor 1
Institution
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School of Economics and Management, University of Aarhus 1
Published in...
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Working paper series 2 CREATES Research Papers 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Drift burst test statistic in the presence of infinite variation jumps
Mancini, Cecilia - 2022
Persistent link: https://www.econbiz.de/10013535744
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Drift burst test statistic in a pure jump semimartingale model
Mancini, Cecilia - 2021
Persistent link: https://www.econbiz.de/10013347728
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The Fine Structure of Equity-Index Option Dynamics
Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; … - School of Economics and Management, University of Aarhus - 2013
We analyze the high-frequency dynamics of S&P 500 equity-index option prices by constructing an assortment of implied volatility measures. This allows us to infer the underlying fine structure behind the innovations in the latent state variables driving the movements of the volatility surface....
Persistent link: https://www.econbiz.de/10010851229
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