Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
Year of publication: |
2008-11-10
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Authors: | Veraart, Almut E. D. |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Lévy processes | stochastic volatility | leverage effect | superposition | realised variance |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 4 pages long |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; G10 - General Financial Markets. General ; G12 - Asset Pricing |
Source: |
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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E., (2009)
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Inference for the jump part of quadratic variation of Itô semimartingales
Veraart, Almut, (2008)
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Veraart, Almut E. D., (2010)
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Veraart, Almut E. D., (2010)
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Modelling electricity day–ahead prices by multivariate Lévy semistationary processes
Veraart, Almut E. D., (2012)
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Veraart, Almut E. D., (2013)
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