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~subject:"jumps"
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jumps
continuous time
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Andersen, Torben G.
7
Bollerslev, Tim
6
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4
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2
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1
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1
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
Creel, Michael
;
Kristensen, Dennis
-
School of Economics and Management, University of Aarhus
-
2014
We develop novel methods for estimation and filtering of
continuous-time
models with stochastic volatility and jumps …
Persistent link: https://www.econbiz.de/10010892068
Saved in:
2
Realized Volatility and Multipower Variation
Andersen, Torben G.
;
Todorov, Viktor
-
School of Economics and Management, University of Aarhus
-
2009
This paper reviews basic notions of return variation in the context of a
continuous-time
arbitrage-free asset pricing …
Persistent link: https://www.econbiz.de/10008577800
Saved in:
3
Continuous-Time
Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
Andersen, Torben G.
;
Bollerslev, Tim
;
Frederiksen, Per
; …
-
Economics Department, Queen's University
-
2008
context of the
continuous-time
jump diffusion models traditionally used in asset pricing finance. Our approach builds directly … specification of empirically more realistic
continuous-time
asset pricing models. On applying the tests to the thirty individual …
Persistent link: https://www.econbiz.de/10005688350
Saved in:
4
Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
Andersen, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
-
School of Economics and Management, University of Aarhus
-
2007
A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in...
Persistent link: https://www.econbiz.de/10005114119
Saved in:
5
Continuous-Time
Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
Andersen, Torben G.
;
Bollerslev, Tim
;
Frederiksen, Per …
-
School of Economics and Management, University of Aarhus
-
2007
context of the
continuous-time
modeling paradigm traditionally used in asset pricing finance. Our approach builds directly on … returns speak directly to the import of different features of the under- lying
continuous-time
processes that might have …
Persistent link: https://www.econbiz.de/10005114122
Saved in:
6
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Andersen, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
-
Center for Financial Studies
-
2003
A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high-frequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on...
Persistent link: https://www.econbiz.de/10010958718
Saved in:
7
Option Valuation with Conditional Skewness
Christoffersen, Peter
;
Heston, Steve
;
Jacobs, Kris
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2003
two interesting
continuous-time
limits. One limit is the standard stochastic volatility model of Heston (1993). The other …
Persistent link: https://www.econbiz.de/10005101071
Saved in:
8
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Andersen, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
-
Center for Financial Studies
-
2003
A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high-frequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on...
Persistent link: https://www.econbiz.de/10005120777
Saved in:
9
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Andersen, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
-
Department of Economics, University of Pennsylvania
-
2003
A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high frequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on...
Persistent link: https://www.econbiz.de/10005150230
Saved in:
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