Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- 1 March 2006
- journal article
- research article
- Published by Elsevier in Journal of Econometrics
- Vol. 131 (1-2) , 217-252
- https://doi.org/10.1016/j.jeconom.2005.01.009
Abstract
No abstract availableKeywords
All Related Versions
This publication has 58 references indexed in Scilit:
- The Euler scheme for Lévy driven stochastic differential equations: limit theoremsThe Annals of Probability, 2004
- Alternative models for stock price dynamicsJournal of Econometrics, 2003
- On the functional estimation of jump–diffusion modelsJournal of Econometrics, 2003
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial EconomicsJournal of the Royal Statistical Society Series B: Statistical Methodology, 2001
- Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated VarianceThe Review of Economics and Statistics, 1999
- Statistical algorithms for models in state space using SsfPack 2.2The Econometrics Journal, 1999
- Long memory in continuous‐time stochastic volatility modelsMathematical Finance, 1998
- Processes of normal inverse Gaussian typeFinance and Stochastics, 1997
- Novel approach to nonlinear/non-Gaussian Bayesian state estimationIEE Proceedings F Radar and Signal Processing, 1993
- Asset pricing for general processesJournal of Mathematical Economics, 1991