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On the jump activity index for semimartingales
13 references·9 citing·37 second hop
On the jump activity index for semimartingales (2011)On the jump activity index for semimartin…Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Estimating the degree of activity of jumps in high frequency data (2009)Estimating the degree of acti…Activity signature functions for high-frequency data analysis (2009)Activity signature functions …Volatility estimators for discretely sampled Lévy processes (2007)Volatility estimators for dis…Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (2007)Multi-Scale Jump and Volatili…Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…Asymptotic properties of realized power variations and related functionals of semimartingales (2007)Asymptotic properties of real…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Disentangling diffusion from jumps (2004)Disentangling diffusion from …Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion (2002)Telling from Discrete Data Wh…Testing for self-excitation in jumps (2018)Testing for self-excitation i…On the systematic and idiosyncratic volatility with large panel high-frequency data (2018)On the systematic and idiosyn…Testing for mutually exciting jumps and financial flights in high frequency data (2017)Testing for mutually exciting…Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance (2017)Assessment of Uncertainty in …Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets (2016)Jump Variation Estimation wit…Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price (2016)Between data cleaning and inf…Testing for pure-jump processes for high-frequency data (2015)Testing for pure-jump process…Jump activity estimation for pure-jump semimartingales via self-normalized statistics (2015)Jump activity estimation for …Rounding Errors and Volatility Estimation (2014)Rounding Errors and Volatilit…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (2012)The leverage effect puzzle: Disentangling sources of bias at high frequency (2013)Numerical solution of stochastic differential equations (2016)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)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)A long memory property of stock market returns and a new model (1993)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Jump risk, stock returns, and slope of implied volatility smile (2010)News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons (2010)Specification Tests in Econometrics (1978)Stochastic Integration and Differential Equations (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Volatility Jumps (2010)Jumps and Information Flow in Financial Markets (2011)Fact or friction: Jumps at ultra high frequency (2014)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Modeling financial contagion using mutually exciting jump processes (2015)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
this work references cited by second hop

References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 2004Disentangling diffusion from jumps362 cited
  • 2007Asymptotic properties of realized power variations and related functionals of semimartingales297 cited
  • 2009Estimating the degree of activity of jumps in high frequency data288 cited
  • 2007Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data241 cited
  • 2002Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion197 cited
  • 2007Volatility estimators for discretely sampled Lévy processes104 cited
  • 2009Activity signature functions for high-frequency data analysis99 cited

Cited by

  • 2015Testing for pure-jump processes for high-frequency data52 cited
  • 2015Jump activity estimation for pure-jump semimartingales via self-normalized statistics

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42 cited
  • 2017Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance42 cited
  • 2017Testing for mutually exciting jumps and financial flights in high frequency data36 cited
  • 2018Testing for self-excitation in jumps36 cited
  • 2018On the systematic and idiosyncratic volatility with large panel high-frequency data36 cited
  • 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price30 cited
  • 2014Rounding Errors and Volatility Estimation27 cited
  • 2016Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets21 cited