Disentangling diffusion from jumps
Top Cited Papers
- 1 December 2004
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 74 (3) , 487-528
- https://doi.org/10.1016/j.jfineco.2003.09.005
Abstract
No abstract availableKeywords
This publication has 26 references indexed in Scilit:
- Alternative models for stock price dynamicsJournal of Econometrics, 2003
- Realized power variation and stochastic volatility modelsBernoulli, 2003
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time DiffusionsEconometrica, 2003
- Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a DiffusionThe Journal of Finance, 2002
- The Variance Gamma Process and Option PricingEuropean Finance Review, 1998
- Pitfalls in Estimating Jump-Diffusion ModelsSSRN Electronic Journal, 1998
- Density in small time for Lévy processesESAIM: Probability and Statistics, 1997
- Densite en temps petit d'un processus de sautsPublished by Springer Nature ,1987
- A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock ReturnsJournal of Financial and Quantitative Analysis, 1981
- Stationary Markov processes with continuous pathsTransactions of the American Mathematical Society, 1956