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Optimally thresholded realized power variations for Lévy jump diffusion models
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References

  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1991Brownian motion and stochastic calculus2,337 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2010Merton, Robert C.816 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 2004Disentangling diffusion from jumps362 cited
  • 2006No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications

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301 cited
  • 2007Asymptotic properties of realized power variations and related functionals of semimartingales297 cited
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