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Optimally thresholded realized power variations for Lévy jump diffusion models · Study

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ArticleOptimally thresholded realized power variations for Lévy jump diffusion models

José Enrique Figueroa-lópez2013

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Articlebronze2013

Optimally thresholded realized power variations for Lévy jump diffusion models

José Enrique Figueroa-lópez · Jeffrey Nisen

17 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Statistical Methods and Inference

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References

2007Brownian Motion and Stochastic Calculus 1976Option pricing when underlying stock returns are discontinuous 1991Brownian motion and stochastic calculus 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2002A Jump-Diffusion Model for Option Pricing 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2005A Tale of Two Time Scales

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2011Asymptotic results for time-changed Lévy processes sampled at hitting timesarticle · 13 shared references 2012Asymptotic Theory of Range-Based Multipower Variationarticle · 12 shared references 2014Fact or friction: Jumps at ultra high frequencyarticle · 11 shared references 2015Large-Dimensional Factor Modeling Based on High-Frequency Observationsarticle · 11 shared references 2010Realised quantile-based estimation of the integrated variancearticle · 11 shared references 2013Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Methodarticle · 11 shared references

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Year2013

Typearticle

Published2013-04-06

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2013.04.006

openalex_workW1970808305

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