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Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures
16 references·2 citing·37 second hopsampled
Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures (2016)Inference on Self‐Exciting Jumps in Price…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsJumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Simulation Run Length Control in the Presence of an Initial Transient (1983)Simulation Run Length Control…Bayesian forecasting in economics and finance: A modern review (2023)Bayesian forecasting in econo…High-frequency jump tests: Which test should we use? (2020)High-frequency jump tests: Wh…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)CAViaR (2004)CoVaR (2016)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Realized Variance and Market Microstructure Noise (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Does the Stock Market Overreact? (1985)Norm theory: Comparing reality to its alternatives. (1986)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Investor Psychology and Asset Pricing (2001)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited

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2005
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
1,346 cited
  • 1983Simulation Run Length Control in the Presence of an Initial Transient1,296 cited
  • Cited by

    • 2023Bayesian forecasting in economics and finance: A modern review45 cited
    • 2020High-frequency jump tests: Which test should we use?34 cited