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Simulation-based exact jump tests in models with conditional heteroskedasticity
16 references·1 citing·35 second hop
Simulation-based exact jump tests in models with conditional heteroskedasticity (2003)Simulation-based exact jump tests in mode…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Alternative models for stock price dynamics (2003)Alternative models for stock …The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…An Empirical Investigation of Continuous‐Time Equity Return Models (2002)An Empirical Investigation of…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Temporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…Continuous-Time Finance. (1991)Continuous-Time Finance.On Jump Processes in the Foreign Exchange and Stock Markets (1988)On Jump Processes in the Fore…On Jumps in Common Stock Prices and Their Impact on Call Option Pricing (1985)On Jumps in Common Stock Pric…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Evolving hybrid neural fuzzy network for realized volatility forecasting with jumps (2014)Evolving hybrid neural fuzzy …The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)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)A Theory of the Term Structure of Interest Rates (1985)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)On estimating the expected return on the market (1980)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1991Continuous-Time Finance.1,788 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
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 1988On Jump Processes in the Foreign Exchange and Stock Markets625 cited

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  • 1985On Jumps in Common Stock Prices and Their Impact on Call Option Pricing409 cited
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    • 2014Evolving hybrid neural fuzzy network for realized volatility forecasting with jumps19 cited