4

Robust Jump Regressions

Year:
2016
Language:
english
File:
PDF, 398 KB
english, 2016
5

Volatility Jumps

Year:
2011
Language:
english
File:
PDF, 380 KB
english, 2011
10

The Realized Laplace Transform of Volatility

Year:
2012
Language:
english
File:
PDF, 261 KB
english, 2012
12

Jump Regressions

Year:
2017
Language:
english
File:
PDF, 321 KB
english, 2017
15

Inference theory for volatility functional dependencies

Year:
2016
Language:
english
File:
PDF, 692 KB
english, 2016
19

REALIZED LAPLACE TRANSFORMS FOR PURE-JUMP SEMIMARTINGALES

Year:
2012
Language:
english
File:
PDF, 2.03 MB
english, 2012
37

Mixed-scale jump regressions with bootstrap inference

Year:
2017
Language:
english
File:
PDF, 799 KB
english, 2017
40

Activity signature functions for high-frequency data analysis

Year:
2010
Language:
english
File:
PDF, 5.69 MB
english, 2010
43

Rank Tests at Jump Events

Year:
2017
Language:
english
File:
PDF, 1.14 MB
english, 2017
44

Volatility activity: Specification and estimation

Year:
2014
Language:
english
File:
PDF, 619 KB
english, 2014
45

THE REALIZED LAPLACE TRANSFORM OF VOLATILITY

Year:
2012
Language:
english
File:
PDF, 1.61 MB
english, 2012
46

ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION

Year:
2016
Language:
english
File:
PDF, 387 KB
english, 2016
50

Realized Laplace transforms for pure-jump semimartingales

Year:
2012
Language:
english
File:
PDF, 303 KB
english, 2012