Estimation of integrated volatility in stochastic volatility models

By Jeannette H. C. Woerner. 2005

52 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b64a543777414df3f9d1d695dd1f9a105248d840

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Citations in the corpus

Bipower Variation for Gaussian Processes with Stationary Increments (2009, background): “Introduction The theory of bipower, and more generally multipower, variation has been developed out of questions raised in mathematical finance; for motivation, some first results, and applications, see [2], [3], [4], [5], [6], [8], [29], [30], [31], and [32].”
Power variation of some integral fractional processes (2006, background): “Under some further conditions, (4) is also satisfied for semimartingales with jumps; see Woerner (2005) for the case of H ¼ 1 2 .”
Asymptotic properties of realized power variations and related functionals of semimartingales (2006, background): “In [8] we have considered the same problems than here when X is a L´evy processes, with almost complete answers.”
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005, unknown): “Following Barndorff-Nielsen and Shephard (2004d), Woerner (2003) has studied the robustness of realised power variation δ1−r/2 ∑bt/δc j=1 |yj| r to an infinite numbers of jumps in finite time periods showing that the robustness property of realised power variation goes through in that case.”
Testing for Common Arrivals of Jumps for Discretely Observed Multidimensional Processes (2009, background): “Tests for deciding whether a given path has jumps or not on the interval [0;T] have been already developed (see [1], [4], [12], [14], [15], [ 17 ], [18]; [3] and [5] discuss some multivariate extensions of the test in [4]).”
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (2006, background): “innit y. Following Barndor-Nielsen and Shephard (2004b), Woerner (2003) has studied the robustness of realised power variation 1 r=2 Pbt= c j=1 jyj;ij”