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Integer-valued Lévy processes and low latency financial econometrics
16 references·7 citing·44 second hop
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(2005)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Time and the Price Impact of a Trade (2000)New frontiers for arch models (2002)Statistical analysis of cointegration vectors (1988)The Model-Free Implied Volatility and Its Information Content (2005)MIDAS Regressions: Further Results and New Directions (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 2003Financial Modelling with Jump Processes3,217 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
  • 1983Information Effects on the Bid-Ask Spread1,875 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
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 2006Tempering stable processes545 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 1999The Distribution of Exchange Rate Volatility462 cited
  • 1967A Compound Events Model for Security Prices441 cited
  • 2004Financial Modelling with Jump Processes419 cited
  • 1990

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An ordered probit analysis of transaction stock prices
418 cited

Cited by

  • 2014Notes on discrete compound Poisson model with applications to risk theory57 cited
  • 2015ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING56 cited
  • 2017Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model48 cited
  • 2018Dynamic discrete copula models for high‐frequency stock price changes44 cited
  • 2014Integer‐valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes34 cited
  • 2011The Cost of Latency28 cited
  • 2013TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS26 cited