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Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia - In: Journal of econometrics 168 (2012) 2, pp. 207-223
Persistent link: https://www.econbiz.de/10009969396
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Fisher's Information for Discretely Sampled Lévy Processes
Aït-Sahalia, Yacine; Jacod, Jean - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 4, pp. 727-762
Persistent link: https://www.econbiz.de/10008077672
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Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Aït-Sahalia, Yacine; Jacod, Jean - In: Journal of economic literature 50 (2012) 4, pp. 1007-1050
Persistent link: https://www.econbiz.de/10010064044
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Lévy term structure models: No-arbitrage and completeness
Eberlein, Ernst; Jacod, Jean; Raible, Sebastian - In: Finance and stochastics 9 (2005) 1, pp. 67-88
Persistent link: https://www.econbiz.de/10008222975
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LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - In: Econometric theory 22 (2006) 4, pp. 677-720
Persistent link: https://www.econbiz.de/10007268465
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From implied to spot volatilities
Jacod, Jean; Protter, Philip - In: Finance and stochastics 14 (2010) 2, pp. 157-178
Persistent link: https://www.econbiz.de/10008392533
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Minimal Hellinger martingale measures of order q
Choulli, Tahir; Stricker, Christophe; Li, Jia - In: Finance and stochastics 11 (2007) 3, pp. 399-428
Persistent link: https://www.econbiz.de/10008221757
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Opportunities and barriers for implementing CO2 capture ready designs: A case study of stakeholder perceptions in Guangdong, China
Li, Jia; Liang, Xi; Cockerill, Tim; Gibbins, Jon; … - In: Energy policy 45 (2012), pp. 243-252
Persistent link: https://www.econbiz.de/10009961854
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Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local‐to‐Continuity Theory for the Pre‐Averaging Method
Li, Jia - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 4, pp. 1673-1693
Persistent link: https://www.econbiz.de/10010156471
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Technological, economic and financial prospects of carbon dioxide capture in the cement industry
Li, Jia; Tharakan, Pradeep; Macdonald, Douglas; Liang, Xi - In: Energy policy 61 (2013), pp. 1377-1387
Persistent link: https://www.econbiz.de/10010166065