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Disentangling diffusion from jumps · Study

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ArticleDisentangling diffusion from jumps

Yacine Aı̈t-Sahalia2004

Article2004

Disentangling diffusion from jumps

Yacine Aı̈t-Sahalia

362 citations·0/0 files stored·Journal of Financial Economics

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

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References

1976Option pricing when underlying stock returns are discontinuous 1993A long memory property of stock market returns and a new model 2004Power and Bipower Variation with Stochastic Volatility and Jumps 1998The Variance Gamma Process and Option Pricing 2002The Fine Structure of Asset Returns: An Empirical Investigation 2003The Impact of Jumps in Volatility and Returns 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 2003Alternative models for stock price dynamics

Cited by

2007Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation 2010Jump risk, stock returns, and slope of implied volatility smile 2010News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons 2008Testing for jumps when asset prices are observed with noise–a “swap variance” approach 2010Realized jumps on financial markets and predicting credit spreads

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2010Variance dynamics: Joint evidence from options and high-frequency returnsarticle · 7 shared references 2010MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICESarticle · 7 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 6 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 6 shared references 2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processesarticle · 6 shared references 2006No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implicationsarticle · 6 shared references

Details

Year2004

Typearticle

Published2004-08-05

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations362

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jfineco.2003.09.005

openalex_workW2129754216

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2014

Fact or friction: Jumps at ultra high frequency

2009Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices

2011Jumps and Information Flow in Financial Markets