//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~subject:"jumps"
~type:"book"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Continuous Time"
Narrow search
Delete all filters
| 2 applied filters
Year of publication
From:
To:
Subject
All
jumps
continuous time
73
Theorie
66
Theory
46
Stochastischer Prozess
27
Zeitreihenanalyse
19
Game theory
18
Stochastic process
18
stochastic volatility
18
Continuous time
17
Dynamisches Gleichgewicht
16
Spieltheorie
16
realized volatility
16
Time series analysis
15
Monetary policy
13
continuous-time
12
Continuous Time
11
Geldpolitik
11
Poisson uncertainty
11
Schätztheorie
11
Dynamic equilibrium
10
Estimation theory
10
Markov chain
10
Markov-Kette
10
Moral hazard
10
Prinzipal-Agent-Theorie
10
Agency theory
9
Continuous-time model
9
Endogenous fluctuations and growth
9
Financial Crisis
9
Moral Hazard
9
Optionspreistheorie
9
discrete time
9
high-frequency data
9
quadratic variation
9
CAPM
8
Kontrolltheorie
8
continuous time econometrics
8
continuous-time methods
8
laboratory experiment
8
more ...
less ...
Online availability
All
Free
11
Type of publication
All
Book / Working Paper
Type of publication (narrower categories)
All
Working Paper
3
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
1
Language
All
English
8
Undetermined
4
Author
All
Andersen, Torben G.
9
Bollerslev, Tim
9
Diebold, Francis X.
5
Nielsen, Morten Ørregaard
3
Frederiksen, Per
2
Andersen, Torben
1
Christoffersen, Peter
1
Creel, Michael
1
Francis X. Diebold
1
Frederiksen, Per Houmann
1
Heston, Steve
1
Jacobs, Kris
1
Kristensen, Dennis
1
Todorov, Viktor
1
more ...
less ...
Institution
All
School of Economics and Management, University of Aarhus
4
Center for Financial Studies
2
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Department of Economics, University of Pennsylvania
1
Economics Department, Queen's University
1
Published in...
All
CREATES Research Papers
4
CFS Working Paper Series
2
CFS Working Paper
1
CFS working paper series
1
CIRANO Working Papers
1
PIER Working Paper Archive
1
Queen's Economics Department Working Paper
1
Working Papers / Economics Department, Queen's University
1
more ...
less ...
Source
All
RePEc
9
EconStor
2
ECONIS (ZBW)
1
Showing
1
-
10
of
12
Sort
Relevance
Date (newest first)
Date (oldest first)
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
; …
-
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/10010290422
Saved in:
4
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:
5
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:
6
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:
7
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:
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
;
Francis X. Diebold
-
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/10010311998
Saved in:
9
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:
10
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:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->