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Activity signature functions for high-frequency data analysis
Tauchen, George Eugene; Todorov, Viktor - 2008
Persistent link: https://www.econbiz.de/10010218844
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Volatility jumps
Tauchen, George Eugene; Todorov, Viktor - 2008
Persistent link: https://www.econbiz.de/10010218853
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Expected stock returns and variance risk premia
Bollerslev, Tim; Tauchen, George Eugene; Zhou, Hao - 2008
Persistent link: https://www.econbiz.de/10010218854
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A discrete-time model for daily S&P500 returns and realized variations : jumps and leverage effects
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; … - 2005
Persistent link: https://www.econbiz.de/10010218862
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The Realized Laplace Transform of volatility
Todorov, Viktor; Tauchen, George Eugene - 2011
Persistent link: https://www.econbiz.de/10009560217
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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
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Limit theorems for power variations of pure-jump processes with application to activity estimation
Todorov, Viktor; Tauchen, George Eugene - 2010
Persistent link: https://www.econbiz.de/10009560326
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009560379
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Pricing of the time-change risks
Shaliastovich, Ivan; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009560380
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Volatility activity : specification and estimation
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - 2011
Persistent link: https://www.econbiz.de/10009561739