Impact of jumps on returns and realised variances: Econometric analysis of time-deformed Lévy processes

Journal of Econometrics

Volumn 131, Issue 1-2, 2006, Pages 217-252

  Barndorff Nielsen, Ole E ^a   Shephard, Neil ^b  

^a AARHUS UNIVERSITY   (Denmark)

^b NUFFIELD COLLEGE   (United Kingdom)

Author keywords

Kalman filter; L vy process; Long memory; Quasi likelihood; Realised variance; Stochastic volatility; Time change

Indexed keywords

ESTIMATION; MATHEMATICAL MODELS; RANDOM PROCESSES;

LÉVY PROCESS; LONG-MEMORY; QUASI-LIKELIHOOD; REALISED VARIANCE; STOCHASTIC VOLATILITY; TIME-CHANGE;

INDUSTRIAL ECONOMICS;

EID: 33644508697     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.01.009     Document Type: Conference Paper

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