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Nonparametric estimation of time-changed Lévy models under high-frequency data
16 references·1 citing·37 second hop
Nonparametric estimation of time-changed Lévy models under high-frequency data (2009)Nonparametric estimation of time-changed …Small-time expansions for the transition distributions of Lévy processes (2009)Small-time expansions for the…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…Small-time moment asymptotics for Lévy processes (2008)Small-time moment asymptotics…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Asymptotic properties of power variations of Lévy processes (2007)Asymptotic properties of powe…Risk bounds for the non-parametric estimation of Lévy processes (2006)Risk bounds for the non-param…Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models (2003)Variational sums and power va…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Modelling by Lévy Processess for Financial Econometrics (2001)Modelling by Lévy Processess …Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Application of Generalized Hy…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Asymptotically optimal discretization of hedging strategies with jumps (2014)Asymptotically optimal discre…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Finite Moment Log Stable Process and Option Pricing (2003)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)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)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Exploiting the errors: A simple approach for improved volatility forecasting (2015)The risk premia embedded in index options (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)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)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (2004)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Estimating quadratic variation using realized variance (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
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  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
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  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 2001Application of Generalized Hyperbolic Lévy Motions to Finance238 cited
  • 2001Modelling by Lévy Processess for Financial Econometrics152 cited
  • 2003Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models73 cited
  • 2007Asymptotic properties of power variations of Lévy processes69 cited
  • 2009Small-time expansions for the transition distributions of Lévy processes60 cited
  • 2008Small-time moment asymptotics for Lévy processes46 cited

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2006
Risk bounds for the non-parametric estimation of Lévy processes
44 cited

Cited by

  • 2014Asymptotically optimal discretization of hedging strategies with jumps27 cited