Disentangling diffusion from jumps

By Yacine Aït-Sahalia. 2004

355 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e25db413f9870b77aee4e34237078973ec3585a6

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Citations in the corpus

Large-dimensional factor modeling based on high-frequency observations (2019, neutral): “26 in Aı̈t-Sahalia and Jacod (2014). Theorem L.”
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2010, background): “A related question is whether it is possible to separately identify the continuous and jump components depending upon the type of jumps that are present (see Aït-Sahalia 2004 and AïtSahalia and Jacod 2008).”
An empirical comparison of continuous-time models of implied volatility indices (2007, positive): “Moreover, Ait-Sahalia (2004) has shown that alternative”
Maximum likelihood estimation of the double exponential jump-diffusion process (2007, background): “Lastly, Aït-Sahalia (2004) has shown that MLE offers advantages in disentangling jumps from diffusion.”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, background): “A partial list of recent studies on this topic includes test specification of Aı̈t-Sahalia (2004), Jiang and Oomen (2008), BarndorffNielsen and Shephard (2006), Lee and Mykland (2008) and Aı̈t-Sahalia and Jacod (2009), as well as the empirical studies of and Maheu and McCurdy (2004); Bollerslev et a”
Optimal portfolio allocation with higher moments (2007, background): “Under our assumptions, equations (36) and (39) imply μt − rt = η(K(2)− 2K(1))vt (41)”
News - Good or Bad - and its Impact on Volatility Predictions over Multiple Horizons (2011, background): “Note two important issues, namely (1) we gain information since we do not aggregate intra3 On the subject of extracting jump see for instance, Aı̈t-Sahalia (2004), Aı̈t-Sahalia and Jacod (2007b), Aı̈t-Sahalia and Jacod (2007a), Andersen, Bollerslev, and Diebold (2006), Barndorff-Nielsen, Graversen, ”
Fact or friction: jumps at ultra high frequency (2014, neutral): “Aı̈t-Sahalia and Jacod (2009b,c); Mancini (2004, 2009), for example, propose to robustify the RV directly via threshold elimination of “large” returns, while Andersen, Dobrev, and Schaumburg (2008); Christensen, Oomen, and Podolskij (2010) suggest to infer diffusive volatility from the quantiles of ”
Electricity price modeling with stochastic time change (2017, neutral): “, Huisman and Mahieu [17], Ball and Torous [3] or Aı̈tSahalia [1]).”
Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics (2011, neutral): “11See Ait-Sahalia (2004) and Yu (2007) for conditions for existence and uniqueness of the approximate densities in continuous time jump-diffusion models and maximum likelihood estimation. 12Previous studies have found values for λt varying between 0.01 and 0.30. See for example Johannes (2004), and ”