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Disentangling diffusion from jumps

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Author Info
Ait-Sahalia, Yacine

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VBX-4CP6CRD-1/2/081f29057819910acf6f239b168afd8c
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Publisher Info
Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 74 (2004)
Issue (Month): 3 (December)
Pages: 487-528
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Handle: RePEc:eee:jfinec:v:74:y:2004:i:3:p:487-528

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  2. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  3. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "Forecasting Exchange Rate Volatility in the Presence of Jumps," Working Papers 1187, Queen's University, Department of Economics. [Downloadable!]
  4. Manuel Moreno & Pedro Jose Serrano & Winfried Stute, 2008. "Statistical Properties and Economic Implications of Jump-Diffusion Processes with Shot-Noise Effects," Business Economics Working Papers wb084912, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  5. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon, 2006. "Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion," Working Papers 06-14, Bank of Canada. [Downloadable!]
  6. José Fajardo & Ernesto Mordecki, 2009. "Skewness Premium with Lévy Processes," CREATES Research Papers 2009-10, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  7. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN. [Downloadable!]
  9. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers 1188, Queen's University, Department of Economics. [Downloadable!]
  10. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena. [Downloadable!]
  11. José Fajardo, 2005. "Equivalent Martingale Measures and Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-07, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
    Other versions:
  12. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  13. William A. Brock & Steven N. Durlauf, 2009. "Adoption Curves and Social Interactions," NBER Working Papers 15065, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute. [Downloadable!]
  15. Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series gd08-036, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
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