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Multipower Variation for Brownian Semistationary Processes
16 references·0 citing·38 second hop
Multipower Variation for Brownian Semistationary Processes (2009)Multipower Variation for Brownian Semista…Testing for common arrivals of jumps for discretely observed multidimensional processes (2009)Testing for common arrivals o…Central limit theorems for multiple stochastic integrals and Malliavin calculus (2007)Central limit theorems for mu…Asymptotic properties of realized power variations and related functionals of semimartingales (2007)Asymptotic properties of real…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Power variation of some integral fractional processes (2006)Power variation of some integ…Limit theorems for multipower variation in the presence of jumps (2006)Limit theorems for multipower…A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2006)A Central Limit Theorem for R…Central limit theorems for sequences of multiple stochastic integrals (2005)Central limit theorems for se…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Gaussian Limits for Vector-valued Multiple Stochastic Integrals (2004)Gaussian Limits for Vector-va…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Realized power variation and stochastic volatility models (2003)Realized power variation and …Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Econometric analysis of realised volatility and its use in estimating stochastic volatility models (2000)Econometric analysis of reali…Stationary and related stochastic processes (1968)Stationary and related stocha…Limit theorems for bipower variations in financial econometricsLimit theorems for bipower va…Limit Theorems for Stochastic Processes (2003)Modeling and Forecasting Realized Volatility (2003)Measuring Downside Risk - Realised Semivariance (2008)Estimators of fractal dimension: Assessing the roughness of time series and spatial data (2010)The Pricing of Options on Assets with Stochastic Volatilities (1987)Why Does Stock Market Volatility Change Over Time? (1989)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Differential Equations Driven by Rough Paths (2007)Realized jumps on financial markets and predicting credit spreads (2010)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)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)Testing for jumps in a discretely observed process (2009)Quasi-maximum likelihood estimation of volatility with high frequency data (2010)The risk premia embedded in index options (2015)The Malliavin Calculus and Related Topics (1995)Continuous Martingales and Brownian Motion (1999)Stein’s method on Wiener chaos (2008)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Separating microstructure noise from volatility (2005)A framework for assessing the systemic risk of major financial institutions (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns (2009)Fact or friction: Jumps at ultra high frequency (2014)Multivariate normal approximation using Stein’s method and Malliavin calculus (2010)Stein’s method and Normal approximation of Poisson functionals (2010)
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References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
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  • 2004Gaussian Limits for Vector-valued Multiple Stochastic Integrals249 cited
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  • 2007Central limit theorems for multiple stochastic integrals and Malliavin calculus221 cited
  • 2009Testing for common arrivals of jumps for discretely observed multidimensional processes194 cited
  • n.d.Limit theorems for bipower variations in financial econometrics141 cited

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  • 2006Power variation of some integral fractional processes110 cited
  • 2000Econometric analysis of realised volatility and its use in estimating stochastic volatility models107 cited
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