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No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications
16 references·11 citing·35 second hop
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications (2007)No-Arbitrage Semi-Martingale Restrictions…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…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…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Journal of the American Statistical Association (1995)Journal of the American Stati…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…PELVE: Probability Equivalent Level of VaR and ES (2019)PELVE: Probability Equivalent…The Drift Burst Hypothesis (2016)The Drift Burst HypothesisRealized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk (2014)Realized Volatility and Absol…A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns (2014)A Bayesian High-Frequency Est…International market links and volatility transmission (2012)International market links an…Financial Risk Measurement for Financial Risk Management (2012)Financial Risk Measurement fo…The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk (2010)The Information Content of Hi…Realizing Smiles: Options Pricing with Realized Volatility (2010)Realizing Smiles: Options Pri…Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation (2010)Jump-Robust Volatility Estima…Stochastic Volatility (2009)Stochastic VolatilityHigh-Frequency Returns, Jumps and the Mixture of Normals Hypothesis (2006)High-Frequency Returns, Jumps…The Behavior of Stock-Market Prices (1965)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets

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1,471 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • Cited by

    • 2016The Drift Burst Hypothesis73 cited
    • 2012Financial Risk Measurement for Financial Risk Management43 cited
    • 2014Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk40 cited
    • 2019PELVE: Probability Equivalent Level of VaR and ES35 cited
    • 2012International market links and volatility transmission35 cited
    • 2009Stochastic Volatility33 cited
    • 2010Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation31 cited
    • 2010The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk30 cited
    • 2006High-Frequency Returns, Jumps and the Mixture of Normals Hypothesis28 cited
    • 2010Realizing Smiles: Options Pricing with Realized Volatility26 cited
    • 2014A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns25 cited