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Econometric analysis of jump-driven stochastic volatility models
16 references·13 citing·34 second hop
Econometric analysis of jump-driven stochastic volatility models (2010)Econometric analysis of jump-driven stoch…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Affine processes and applications in finance (2003)Affine processes and applicat…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Market microstructure theory (1995)Market microstructure theoryStochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Volatility analysis with realized GARCH-Itô models (2020)Volatility analysis with real…The Skewness Implied in the Heston Model and Its Application (2016)The Skewness Implied in the H…Implementation of Lévy CARMA model in Yuima package (2015)Implementation of Lévy CARMA …Volatility Jumps and Their Economic Determinants (2014)Volatility Jumps and Their Ec…Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility (2014)Bayesian Modeling and Forecas…Integration of CARMA processes and spot volatility modelling (2012)Integration of CARMA processe…Realized Laplace transforms for estimation of jump diffusive volatility models (2011)Realized Laplace transforms f…Stochastic Volatility and Stochastic Leverage (2009)Stochastic Volatility and Sto…Nonparametric Estimation for Lévy Models Based on Discrete-Sampling (2009)Nonparametric Estimation for …Lévy–Driven Continuous–Time ARMA Processes (2009)Lévy–Driven Continuous–Time A…Sieve-based confidence intervals and bands for Lévy densities (2008)Sieve-based confidence interv…Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models (2007)Analysis of filtering and smo…Risk bounds for the non-parametric estimation of Lévy processes (2006)Risk bounds for the non-param…Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 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The Information Content of Internet Stock Message Boards (2004)Modeling Term Structures of Defaultable Bonds (1999)The distribution of realized stock return volatility (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 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
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 1995Market microstructure theory1,305 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2006

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Realized Variance and Market Microstructure Noise
1,164 cited
  • 2003Affine processes and applications in finance1,044 cited
  • Cited by

    • 2020Volatility analysis with realized GARCH-Itô models49 cited
    • 2009Lévy–Driven Continuous–Time ARMA Processes45 cited
    • 2006Risk bounds for the non-parametric estimation of Lévy processes44 cited
    • 2009Nonparametric Estimation for Lévy Models Based on Discrete-Sampling44 cited
    • 2014Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility39 cited
    • 2009Stochastic Volatility and Stochastic Leverage38 cited
    • 2014Volatility Jumps and Their Economic Determinants34 cited
    • 2015Implementation of Lévy CARMA model in Yuima package24 cited
    • 2011Realized Laplace transforms for estimation of jump diffusive volatility models24 cited
    • 2007Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models24 cited
    • 2016The Skewness Implied in the Heston Model and Its Application22 cited
    • 2012Integration of CARMA processes and spot volatility modelling21 cited
    • 2008Sieve-based confidence intervals and bands for Lévy densities21 cited