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6
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ECONIS (ZBW)
2,121
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1
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/10009793469
Saved in:
2
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
3
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
4
Asymptotic asset pricing and bubbles
Roch, Alexandre
- In:
Mathematics and financial economics
12
(
2018
)
2
,
pp. 275-304
Persistent link: https://www.econbiz.de/10011963853
Saved in:
5
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
6
Malliavin's calculus in insider models : additional utility and free lunches
Imkeller, Peter
- In:
Mathematical finance : an international journal of …
13
(
2003
)
1
,
pp. 153-169
Persistent link: https://www.econbiz.de/10001765669
Saved in:
7
Malliavin's calculus in insider models : additional utility and free lunches
Imkeller, Peter
-
2002
Persistent link: https://www.econbiz.de/10001666561
Saved in:
8
Malliavin's calculus in insider models : additional utility and free lunches
Imkeller, Peter
-
2002
information drift, i.e. the drift to eliminate in order to preserve the
martingale
property in the insider's filtration, turns out … ; enlargement of filtrations ; Malliavin's calculus ; free lunch ; arbitrage ; equivalent
martingale
measure ; Bessel process …
Persistent link: https://www.econbiz.de/10009620768
Saved in:
9
New procedures for testing whether stock price processes are
martingales
Takeuchi, Keiichi
;
Akimichi, Takemura
;
Kumon, Masayuki
- In:
Computational economics
37
(
2011
)
1
,
pp. 67-88
Persistent link: https://www.econbiz.de/10008902941
Saved in:
10
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
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