Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps-Reference-Cited by-同舟云学术

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Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps

Published:2011-01 Issue: Volume: Page:179-233
ISSN:0731-9053
Container-title:Missing Data Methods: Time-Series Methods and Applications
language:
Short-container-title:

Author:

Duong Diep,Swanson Norman R.

Publisher

Emerald Group Publishing Limited

Reference71 articles.

1. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

2. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

3. Modeling and Forecasting Realized Volatility

4. Estimating continuous-time stochastic volatility models of the short-term interest rate

5. Testing Continuous-Time Models of the Spot Interest Rate

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3. From Constant to Rough: A Survey of Continuous Volatility Modeling;Mathematics;2023-10-08

4. Modeling and managing stock market volatility using MRS-MIDAS model;International Review of Economics & Finance;2022-11

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