Ana-Maria H. Dumitru

Finance · 2011

A researcher in the Science corpus: 1 paper; trusts 16 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

Whom Ana-Maria H. Dumitru trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Ole E. Barndorff-Nielsen
  2. Torben G. Andersen
  3. N. Shephard
  4. Cecilia Mancini
  5. Halbert White
  6. Vivek Bhattacharya
  7. Suzanne S. Lee
  8. Fulvio Corsi
  9. Tim Bollerslev
  10. Yacine Aït-Sahalia

Who trusts Ana-Maria H. Dumitru overall

  1. Massimiliano Caporin

Papers from Ana-Maria H. Dumitru's perspective

Ordered by how strongly the researchers Ana-Maria H. Dumitru trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Power and bipower variation with stochastic volatility and jumps
  2. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
  3. An empirical investigation of continuous-time equity return models
  4. The jump-risk premia implicit in options: evidence from an integrated time-series study $
  5. The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models
  6. No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications
  7. Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
  8. Disentangling diffusion from jumps
  9. Separating Microstructure Noise from Volatility
  10. Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

Their papers