Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data-Reference-Cited by-同舟云学术

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Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data

Published:2021-12 Issue: Volume:64 Page:37-52
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Ewald Christian,Zou Yihan^ORCID

Funder

Ministry of Education of the People's Republic of China

China Scholarship Council

University of Glasgow

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference46 articles.

1. Disentangling diffusion from jumps;Aït-Sahalia;J. Financ. Econ.,2004

2. Estimation of the continuous and discontinuous leverage effects;Aït-Sahalia;J. Amer. Statist. Assoc.,2017

3. Estimating the degree of activity of jumps in high frequency data;Aït-Sahalia;Ann. Statist.,2009

4. Testing for jumps in a discretely observed process;Aït-Sahalia;Ann. Statist.,2009

5. Intraday periodicity and volatility persistence in financial markets;Andersen;J. Empir. Financ.,1997

Cited by 3 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. Persistent and transient variance components in option pricing models with variance-dependent Kernel;Journal of Empirical Finance;2024-08

2. The jump leverage risk premium;Journal of Financial Economics;2023-12

3. Jumps, Leverage and Risk Premiums;SSRN Electronic Journal;2022

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