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A New Test for Jumps in Asset Prices
16 references·1 citing·36 second hopsampled
A New Test for Jumps in Asset Prices (2005)A New Test for Jumps in Asset PricesStochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Predicting volatility: gettin…How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…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…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Alternative models for stock price dynamics (2003)Alternative models for stock …A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…An Empirical Investigation of Continuous‐Time Equity Return Models (2002)An Empirical Investigation of…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Jumps in Real-Time Financial Markets: A New Nonparametric Test and Jump Dynamics (2006)Jumps in Real-Time Financial …The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Theory of the Term Structure of Interest Rates (1985)Specification Tests in Econometrics (1978)Stochastic Integration and Differential Equations (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Expected stock returns and volatility (1987)Statistical analysis of cointegration vectors (1988)The Model-Free Implied Volatility and Its Information Content (2005)MIDAS Regressions: Further Results and New Directions (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)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)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
  • 2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited

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2005
Predicting volatility: getting the most out of return data sampled at different frequencies
813 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • Cited by

    • 2006Jumps in Real-Time Financial Markets: A New Nonparametric Test and Jump Dynamics31 cited