Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets
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Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10614-024-10633-1.pdf
Reference32 articles.
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3. Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007). Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. The Review of Economics and Statistics, 89(4), 701–720.
4. Andersen, T. G., Dobrev, D., & Schaumburg, E. (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169(1), 75–93.
5. Barndorff-Nielsen, O. E., & Shephard, N. (2016). Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. Journal of Econometrics, 131, 217–252.
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