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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
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Estimation of integrated volatility in stochastic volatility models
Woerner, Jeannette H. C. - 2003
Persistent link: https://www.econbiz.de/10009581654
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Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods
Fičura, Milan; Witzany, Jiří - In: Finance a úvěr 66 (2016) 4, pp. 278-301
Persistent link: https://www.econbiz.de/10011532802
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Variational sums and power variation : a unifying approach to model selection and estimation in semimartingale models
Woerner, Jeannette H. C. - 2002
Persistent link: https://www.econbiz.de/10009581659
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Inference from high-frequency data : a subsampling approach
Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272
Persistent link: https://www.econbiz.de/10011818358
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Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high requency return data
Lee, Kyungsub - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 19-36
Persistent link: https://www.econbiz.de/10011431109
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Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
Hao, Xuemiao; Li, Xuan - In: Insurance / Mathematics & economics 65 (2015), pp. 103-110
Persistent link: https://www.econbiz.de/10011422882
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Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 72 (2021) 2, pp. 471-484
Persistent link: https://www.econbiz.de/10012500958
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Estimating jump activity using multipower variation
Kolokolov, Aleksey - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 128-140
Persistent link: https://www.econbiz.de/10012804092
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Jumps or staleness?
Kolokolov, Aleksey; Renò, Roberto - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 516-532
Persistent link: https://www.econbiz.de/10015053424