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Time Change, Volatility, and Turbulence
16 references·1 citing·46 second hop
Time Change, Volatility, and Turbulence (2008)Time Change, Volatility, and TurbulenceQuantitative Risk Management (2011)Quantitative Risk ManagementA Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2006)A Central Limit Theorem for R…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Financial Modelling with Jump Processes (2004)Financial Modelling with Jump…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The distribution of realized stock return volatility (2001)The distribution of realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Lévy processes : theory and applications (2001)Lévy processes : theory and a…Approximations of small jumps of Lévy processes with a view towards simulation (2001)Approximations of small jumps…Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Lévy Processes in Finance: Th…The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)An Elementary Approach to a G…The normal inverse gaussian lévy process: simulation and approximation (1997)The normal inverse gaussian l…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…A weak solution theory for stochastic Volterra equations of convolution type (2021)A weak solution theory for st…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)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)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Fractional Brownian Motions, Fractional Noises and Applications (1968)Continuous Martingales and Brownian Motion (1999)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Limit Theorems for Stochastic Processes (2003)Stochastic integration with respect to fractional brownian motion (2003)Long Range Dependence (2004)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Scaling of the distribution of price fluctuations of individual companies (1999)Physical approach to complex systems (2012)Multifractal analysis of financial markets: a review (2019)Hyperbolic Distributions in Finance (1995)Stochastic Integration and Differential Equations (2005)Models for construction of multivariate dependence – a comparison study (2008)The Volatility of Realized Volatility (2008)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)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)Non-parametric calibration of jump–diffusion option pricing models (2004)A Multivariate Jump-Driven Financial Asset Model (2006)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)Estimating quadratic variation using realized variance (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)
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References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
  • 2011Quantitative Risk Management985 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 2004Financial Modelling with Jump Processes419 cited
  • 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions401 cited
  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
  • 2001Lévy processes : theory and applications338 cited
  • 2001Approximations of small jumps of Lévy processes with a view towards simulation300 cited
  • 1997The normal inverse gaussian lévy process: simulation and approximation284 cited
  • 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

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282 cited
  • 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited
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    • 2021A weak solution theory for stochastic Volterra equations of convolution type39 cited