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Econometric analysis of jump-driven stochastic volatility models · Study

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ArticleEconometric analysis of jump-driven stochastic volatility models

Viktor Todorov2010

Article2010

Econometric analysis of jump-driven stochastic volatility models

66 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2005Stochastic Integration and Differential Equations 1983Stochastic Differential Equations and Diffusion Processes 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2002The Fine Structure of Asset Returns: An Empirical Investigation

Cited by

2020Volatility analysis with realized GARCH-Itô models 2009Lévy–Driven Continuous–Time ARMA Processes 2006Risk bounds for the non-parametric estimation of Lévy processes 2009Nonparametric Estimation for Lévy Models Based on Discrete-Sampling 2014Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility 2009Stochastic Volatility and Stochastic Leverage

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2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometricspreprint · 20 shared references 2009Stochastic Volatilityother · 20 shared references 2005Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processesarticle · 17 shared references 2005Volatility Forecastingreport · 16 shared references 2006Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Modelsarticle · 16 shared references 2009Stochastic Volatility: Origins and Overviewchapter · 15 shared references

Details

Year2010

Typearticle

Published2010-03-09

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations66

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2010.03.009

openalex_workW2052066969

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2014Volatility Jumps and Their Economic Determinants

2015Implementation of Lévy CARMA model in Yuima package