SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Is Brownian motion necessary to model high-frequency data?
10 references·15 citing·41 second hop
Is Brownian motion necessary to model high-frequency data? (2010)Is Brownian motion necessary to model hig…Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Asymptotic properties of realized power variations and related functionals of semimartingales (2007)Asymptotic properties of real…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Disentangling the jumps of the diffusion in a geometric jumping Brownian motion (2001)Disentangling the jumps of th…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…The Crash of '87: Was It Expected? The Evidence from Options Markets (1991)The Crash of '87: Was It Expe…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…A Simplified Jump Process for Common Stock Returns (1983)A Simplified Jump Process for…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Pricing Cryptocurrency Options: The Case of CRIX and Bitcoin (2018)Pricing Cryptocurrency Option…Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2018)Is the diurnal pattern suffic…The fine structure of equity-index option dynamics (2015)The fine structure of equity-…Testing for pure-jump processes for high-frequency data (2015)Testing for pure-jump process…Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies (2014)Limit theorems for the empiri…Econometrics of co-jumps in high-frequency data with noise (2014)Econometrics of co-jumps in h…Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method (2013)Robust Estimation and Inferen…On the Stochastic Properties of Carbon Futures Prices (2013)On the Stochastic Properties …The Small-Maturity Smile for Exponential Lévy Models (2012)The Small-Maturity Smile for …The Realized Laplace Transform of Volatility (2012)The Realized Laplace Transfor…Modeling high-frequency financial data by pure jump processes (2012)Modeling high-frequency finan…Modeling high-frequency financial data by pure jump processes (2012)Modeling high-frequency finan…The Cost of Latency (2011)The Cost of LatencyRealized Laplace transforms for estimation of jump diffusive volatility models (2011)Realized Laplace transforms f…Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2010)Analyzing the Spectrum of Ass…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The variation of certain speculative prices (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)The valuation of options for alternative stochastic processes (1976)The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps (1993)Normal mixture GARCH(1,1): applications to exchange rate modelling (2006)Fact or friction: Jumps at ultra high frequency (2014)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Limit Theorems for Stochastic Processes (2003)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)Quasi-maximum likelihood estimation of volatility with high frequency data (2010)The risk premia embedded in index options (2015)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Behavior of Stock-Market Prices (1965)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Stochastic skew in currency options☆ (2007)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Modeling financial contagion using mutually exciting jump processes (2015)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2008)Jumps in equilibrium prices and market microstructure noise (2012)Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence (2013)Filtering and forecasting with misspecified ARCH models I (1992)New techniques to extract market expectations from financial instruments (1997)The market for crash risk (2007)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 2007Asymptotic properties of realized power variations and related functionals of semimartingales297 cited
  • 1983A Simplified Jump Process for Common Stock Returns279 cited
  • 1991The Crash of '87: Was It Expected? The Evidence from Options Markets214 cited
  • 2001Disentangling the jumps of the diffusion in a geometric jumping Brownian motion120 cited

Cited by

  • 2012The Realized Laplace Transform of Volatility67 cited
  • 2014Econometrics of co-jumps in high-frequency data with noise62 cited
  • 2012Modeling high-frequency financial data by pure jump processes60 cited
  • 2018Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment56 cited
  • 2015Testing for pure-jump processes for high-frequency data

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

52 cited
  • 2012The Small-Maturity Smile for Exponential Lévy Models50 cited
  • 2012Modeling high-frequency financial data by pure jump processes44 cited
  • 2013Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method35 cited
  • 2013On the Stochastic Properties of Carbon Futures Prices32 cited
  • 2011The Cost of Latency28 cited
  • 2018Pricing Cryptocurrency Options: The Case of CRIX and Bitcoin28 cited
  • 2014Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies25 cited
  • 2015The fine structure of equity-index option dynamics25 cited
  • 2010Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data25 cited
  • 2011Realized Laplace transforms for estimation of jump diffusive volatility models24 cited