Deep Learning, Jumps, and Volatility Bursts-Reference-Cited by-同舟云学术

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Deep Learning, Jumps, and Volatility Bursts

Published:2019 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bashchenko Oksana,Marchal Alexis

Publisher

Elsevier BV

Reference23 articles.

1. Disentangling diffusion from jumps;Yacine A�t-Sahalia;Journal of Financial Economics,2004

2. Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility;Torben G Andersen;Review of Economics and Statistics,2007

3. 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;Torben G Andersen;Journal of Econometrics,2007

4. Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Deep Learning for Asset Bubbles Detection;SSRN Electronic Journal;2020

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