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1.
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Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use th[...]
2015 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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2.
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Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use th[...]
2015 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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We estimate a continuous-time model for the stock market index where the stochastic volatility and crash probability depend on the realized spot variance and the stock ma[...]
2021 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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