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Analyzing the Fine Structure of Continuous Time Stochastic Processes
16 references·0 citing·44 second hop
Analyzing the Fine Structure of Continuous Time Stochastic Processes (2011)Analyzing the Fine Structure of Continuou…Estimating the degree of activity of jumps in high frequency data (2009)Estimating the degree of acti…A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2006)A Central Limit Theorem for R…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Central limit theorems for sequences of multiple stochastic integrals (2005)Central limit theorems for se…Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Long-term memories of develop…Gaussian Limits for Vector-valued Multiple Stochastic Integrals (2004)Gaussian Limits for Vector-va…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…Realized power variation and stochastic volatility models (2003)Realized power variation and …Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…ESSENTIALS OF STOCHASTIC FINANCE (2000)ESSENTIALS OF STOCHASTIC FINA…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Malliavin Calculus and Related Topics (1995)Continuous Martingales and Brownian Motion (1999)The Malliavin Calculus and Related Topics (2006)Stein’s method on Wiener chaos (2008)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Specification Tests in Econometrics (1978)A Theory of the Term Structure of Interest Rates (1985)Stochastic Integration and Differential Equations (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Human behavior and the principle of least effort (1949)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Multi-scaling in finance (2007)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Multifractal analysis of financial markets: a review (2019)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)The cumulant process and Esscher's change of measure (2002)Applications of Hilbert–Huang transform to non‐stationary financial time series analysis (2003)Option pricing and Esscher transform under regime switching (2005)
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References

  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2005Central limit theorems for sequences of multiple stochastic integrals442 cited
  • 2004Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development430 cited
  • 1999Essentials of Stochastic Finance412 cited
  • 2003Arbitrage in fractional Brownian motion models332 cited
  • 2000ESSENTIALS OF STOCHASTIC FINANCE301 cited
  • 2009Estimating the degree of activity of jumps in high frequency data288 cited
  • 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales282 cited
  • 2004

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Gaussian Limits for Vector-valued Multiple Stochastic Integrals
249 cited
  • 2003Realized power variation and stochastic volatility models243 cited
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