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Volatility occupation times
12 references·1 citing·38 second hop
Volatility occupation times (2013)Volatility occupation timesA remark on the rates of convergence for integrated volatility estimation in the presence of jumps (2014)A remark on the rates of conv…The Realized Laplace Transform of Volatility (2012)The Realized Laplace Transfor…Quarticity and other functionals of volatility: efficient estimation (2012)Quarticity and other function…Discretization of Processes (2011)Discretization of ProcessesNon‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…Extreme value theory : an introduction (2006)Extreme value theory : an int…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…Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Fully Nonparametric Estimatio…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options (1995)The Distribution of the Quant…On estimating the diffusion coefficient from discrete observations (1993)On estimating the diffusion c…Principal Component Analysis in Financial Data Science (2022)Principal Component Analysis …Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Exploiting the errors: A simple approach for improved volatility forecasting (2015)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)Specification Tests in Econometrics (1978)The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Shocks (2009)Stochastic Differential Equations (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)The Valuation of Executive Stock Options in an Intensity-Based Framework (2000)Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options (2010)Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options (2015)Inference for Continuous Semimartingales Observed at High Frequency (2009)Estimation of the Continuous and Discontinuous Leverage Effects (2016)Generalized Method of Integrated Moments for High-Frequency Data (2016)High-frequency factor models and regressions (2020)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Overconfidence and Speculative Bubbles (2003)Nonparametric Pricing of Interest Rate Derivative Securities (1995)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Parametric and Nonparametric Volatility Measurement (2010)Stationary max-stable fields associated to negative definite functions (2009)Statistical Modeling of Spatial Extremes (2012)Power-law distributions in empirical data (2018)Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (2016)Principal Component Analysis of High-Frequency Data (2017)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2006Extreme value theory : an introduction1,291 cited
  • 2011Discretization of Processes486 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 2003Fully Nonparametric Estimation of Scalar Diffusion Models322 cited
  • 1993On estimating the diffusion coefficient from discrete observations258 cited
  • 2012Quarticity and other functionals of volatility: efficient estimation106 cited
  • 1995The Distribution of the Quantile of a Brownian Motion with Drift and the Pricing of Related Path-Dependent Options100 cited
  • 2012The Realized Laplace Transform of Volatility67 cited
  • 2014A remark on the rates of convergence for integrated volatility estimation in the presence of jumps51 cited

Cited by

  • 2022Principal Component Analysis in Financial Data Science16 cited

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