The Fine Structure of Asset Retums : An Empirical Investigation '

By Peter P. Carr. 2006

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Citations in the corpus

Characteristic Kernels and Infinitely Divisible Distributions (2014, background): “, to mathematical finance with the Lévy processes (Schoutens, 2003; Cont and Tankov, 2004; Barndorff-Nielsen and Halgreen, 1990; Madan et al., 1998; Barndorff-Nielsen, 1998; Barndorff-Nielsen and Prause, 2001; Carr et al., 2002).”
Tempered stable distributions and processes in finance: numerical analysis (2010, methodology): “We want to emphasize that the Esscher transform is an exponential tilting [21], thus if applied to a CGMY or a GTS process, it modifies only parameters but not the form of the characteristic function.”
Symmetry and duality in Lévy markets (2006, unknown): “( 2002 ) is characterized by σ = 0 and the Levy measure given by ( 31 ), where the function p ( y ) is given by The parameters satisfy C > 0 , Y 2 , and G =α +β ≥ 0, M =α − β≥ 0, where C,G,M,Y are the parameters used in Carr et al .”
Activity Signature Functions for High-Frequency Data Analysis (2010, methodology): “Woerner (2006) initially had the insight of examination of plots of a different function of the level of realized power variation in order to make inference about the Blumenthal–Getoor index of a jump process; but this approach entails a significant bias, as documented in a supplementary web-availab”
Some explicit identities associated with positive self-similar Markov processes. (2007, background): “[11], Boyarchenko and Levendorskii [8], Cont [14] or Schoutens [29].”
Numerical approximation of fractional powers of elliptic operators (2013, background): “The mathematical study of integral or nonlocal operators has received much attention due to their wide range of applications, see for instance [8, 2, 11, 4, 19, 12, 25, 29, 9].”
Robust numerical valuation of European and American options under the CGMY process (2007, methodology): “0102 Table 3: The input parameters (from [2]) for evaluating European call options under CGMY when Y = 0.”
Detecting Jumps from Levy Jump Diffusion Processes (2010, background): “Accordingly, their extensive applications have appeared in recent studies such as Carr and Madan (1998), Carr and Wu (2003, 2004, 2007), Huang and Wu (2004), and Bakshi, Carr, and Wu (2008). In light of this fast-growing literature and subsequent efforts in developing better inference methods (see, ”
Nonparametric tests for pathwise properties of semimartingales (2011, methodology): “jumps to a continuous process driven by Brownian motion [16, 22], while others are based on purely discontinuous processes which move only through jumps [8, 18].”
Single and joint default in a structural model with purely discontinuous assets (2007, methodology): “As concerns single defaults, Madan (2000) introduces a terminal default, Merton type model, with a Lévy process of the VG type for the log-asset value, while Cariboni and Schoutens (2004) provide its early-default version, together with an illustrative calibration to a small CDS sample. This paper i”