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Disentangling diffusion from jumps

Citations

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Cited by:

  1. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
  2. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
  3. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien Mcmahon, 2008. "Forecasting commodity prices: GARCH, jumps, and mean reversion," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 279-291.
  4. Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, vol. 153(2), pages 196-210, December.
  5. Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
  6. Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011. "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, vol. 160(1), pages 48-57, January.
  7. Tauchen, George & Zhou, Hao, 2011. "Realized jumps on financial markets and predicting credit spreads," Journal of Econometrics, Elsevier, vol. 160(1), pages 102-118, January.
  8. Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN.
  9. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
  10. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
  11. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
  12. Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
  13. Fukuda, Kosei, 2009. "Distribution switching in financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1711-1720.
  14. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
  15. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
  16. Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
  17. Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011. "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, vol. 214(3), pages 656-664, November.
  18. Christian Bayer & Klaus Wälde, 2010. "Matching and Saving in Continuous Time: Theory," CESifo Working Paper Series 3026, CESifo.
  19. Lee, Suzanne S. & Hannig, Jan, 2010. "Detecting jumps from Lévy jump diffusion processes," Journal of Financial Economics, Elsevier, vol. 96(2), pages 271-290, May.
  20. Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
  21. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, vol. 17(C), pages 121-149.
  22. José Fajardo & Ernesto Mordecki, 2006. "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers 2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  23. Fan, Yingying & Fan, Jianqing, 2011. "Testing and detecting jumps based on a discretely observed process," Journal of Econometrics, Elsevier, vol. 164(2), pages 331-344, October.
  24. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014. "Partial information about contagion risk, self-exciting processes and portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 18-36.
  25. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  26. Ehrmann, Michael & Jansen, David-Jan, 2022. "Stock return comovement when investors are distracted: More, and more homogeneous," Journal of International Money and Finance, Elsevier, vol. 129(C).
  27. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2005. "Forecasting Exchange Rate Volatility In The Presence Of Jumps," Working Paper 1187, Economics Department, Queen's University.
  28. Alexander, Carol & Rauch, Johannes, 2021. "A general property for time aggregation," European Journal of Operational Research, Elsevier, vol. 291(2), pages 536-548.
  29. Hanousek, Jan & Novotný, Jan, 2012. "Price jumps in Visegrad-country stock markets: An empirical analysis," Emerging Markets Review, Elsevier, vol. 13(2), pages 184-201.
  30. Nolte, Ingmar & Xu, Qi, 2015. "The economic value of volatility timing with realized jumps," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 45-59.
  31. Kim, Jae Ho & Powell, Warren B., 2011. "An hour-ahead prediction model for heavy-tailed spot prices," Energy Economics, Elsevier, vol. 33(6), pages 1252-1266.
  32. William A. Brock & Steven N. Durlauf, 2010. "Adoption Curves and Social Interactions," Journal of the European Economic Association, MIT Press, vol. 8(1), pages 232-251, March.
  33. Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  34. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2006. "The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps," Working Paper 1188, Economics Department, Queen's University.
  35. Michal Czerwonko & Stylianos Perrakis, 2016. "Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-28, December.
  36. Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
  37. Todorov, Viktor, 2011. "Econometric analysis of jump-driven stochastic volatility models," Journal of Econometrics, Elsevier, vol. 160(1), pages 12-21, January.
  38. Figueroa-López, José E. & Nisen, Jeffrey, 2013. "Optimally thresholded realized power variations for Lévy jump diffusion models," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2648-2677.
  39. Jing, Bing-Yi & Kong, Xin-Bing & Liu, Zhi & Mykland, Per, 2012. "On the jump activity index for semimartingales," Journal of Econometrics, Elsevier, vol. 166(2), pages 213-223.
  40. Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, and Sebastien McMahon, 2015. "The Convenience Yield and the Informational Content of the Oil Futures Price," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  41. Wong, Alfred, 2019. "Currency jumps, Euribor-OIS spreads and the volatility skew: A study on the dollar-euro crash risk of 2007–2015," Finance Research Letters, Elsevier, vol. 29(C), pages 7-16.
  42. Fajardo, Jose Santiago, 2006. "Equivalent Martingale Measures and Lévy Processes," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(4), February.
  43. Dempster, M.A.H. & Medova, Elena & Tang, Ke, 2018. "Latent jump diffusion factor estimation for commodity futures," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 35-54.
  44. Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June.
  45. esposito, francesco paolo & cummins, mark, 2015. "Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models," MPRA Paper 64987, University Library of Munich, Germany.
  46. Song, Xiaodong & Johnson, Paul & Duck, Peter, 2021. "A novel combination of Mycielski–Markov, regime switching and jump diffusion models for solar energy," Applied Energy, Elsevier, vol. 301(C).
  47. repec:wyi:journl:002150 is not listed on IDEAS
  48. Cecilia Mancini & Roberto Renò, 2005. "Nonparametric estimation in models with Lévy type jumps and stochastic volatility," Department of Economics University of Siena 451, Department of Economics, University of Siena.
  49. Yan, Shu, 2011. "Jump risk, stock returns, and slope of implied volatility smile," Journal of Financial Economics, Elsevier, vol. 99(1), pages 216-233, January.
  50. Cyr, Don & Kusy, Martin, 2007. "Identification of stochastic processes for an estimated icewine temperature hedging variable," Working Papers 37298, American Association of Wine Economists.
  51. Bent Jesper Christensen & Morten Ø. Nielsen, 2005. "The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices," Working Paper 1186, Economics Department, Queen's University.
  52. Chen, Song X. & Delaigle, Aurore & Hall, Peter, 2010. "Nonparametric estimation for a class of Lévy processes," Journal of Econometrics, Elsevier, vol. 157(2), pages 257-271, August.
  53. J. Benson Durham, 2005. "Jump-diffusion processes and affine term structure models: additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates," Finance and Economics Discussion Series 2005-53, Board of Governors of the Federal Reserve System (U.S.).
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